{
  "id": "math/0702622",
  "version": "v2",
  "published": "2007-02-21T20:17:35.000Z",
  "updated": "2008-11-04T14:58:39.000Z",
  "title": "Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise",
  "authors": [
    "Carlo Marinelli"
  ],
  "comment": "17 pages, final version",
  "categories": [
    "math.PR"
  ],
  "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 L\\'evy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2008-11-04T14:58:39.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G51",
      "60H15",
      "91B28"
    ],
    "keywords": [
      "invariant measures",
      "deterministic volatility",
      "lévy noise",
      "hjm models",
      "valued driving levy noise"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 17,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2007math......2622M"
    }
  }
}