Journal article | Zeitschriftenartikel
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
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.
- Umfang
-
Seite(n): 39-47
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 10(1)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Marinelli, Carlo
- Ereignis
-
Veröffentlichung
- (wo)
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Vereinigtes Königreich
- (wann)
-
2010
- DOI
- URN
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urn:nbn:de:0168-ssoar-221409
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Marinelli, Carlo
Entstanden
- 2010
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