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arXiv:0704.2380 [math.PR]AbstractReferencesReviewsResources

Local well-posedness of Musiela's SPDE with Lévy noise

Carlo Marinelli

Published 2007-04-18, updated 2008-08-22Version 2

We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional L{\'e}vy process so that it admits a unique local mild solution in spaces of functions whose first derivative is square integrable with respect to a weight.

Comments: Final version
Categories: math.PR
Subjects: 60G51, 60H15, 91B28
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