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Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise

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  • Carlo Marinelli

Abstract

We give sufficient conditions for the existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Levy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Suggested Citation

  • Carlo Marinelli, 2010. "Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 39-47.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:1:p:39-47
    DOI: 10.1080/14697680802595692
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    Citations

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    Cited by:

    1. Zdzisław Brzeźniak & Tayfun Kok, 2018. "Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations," Finance and Stochastics, Springer, vol. 22(4), pages 959-1006, October.
    2. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    3. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org.

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