Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
Abstract: We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela’s stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 10 (2010) 1 ; 39-47
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Mannheim
- (wann)
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2010
- Urheber
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Marinelli, Carlo
- DOI
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10.1080/14697680802595692
- URN
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urn:nbn:de:0168-ssoar-221409
- Rechteinformation
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
15.08.2025, 07:23 MESZ
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Beteiligte
- Marinelli, Carlo
Entstanden
- 2010
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