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.
- Extent
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Seite(n): 39-47
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Quantitative Finance, 10(1)
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Event
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Geistige Schöpfung
- (who)
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Marinelli, Carlo
- Event
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Veröffentlichung
- (where)
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Vereinigtes Königreich
- (when)
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2010
- DOI
- URN
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urn:nbn:de:0168-ssoar-221409
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:27 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Marinelli, Carlo
Time of origin
- 2010
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