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arXiv:math/0702622 [math.PR]AbstractReferencesReviewsResources

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

Carlo Marinelli

Published 2007-02-21, updated 2008-11-04Version 2

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 L\'evy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Comments: 17 pages, final version
Categories: math.PR
Subjects: 60G51, 60H15, 91B28
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