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Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
[Zeitschriftenartikel]
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 Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solut... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
Term Structure; Stochastic Interest Rates; Stochastic Jumps; Stochastic Differential Equations
Sprache Dokument
Englisch
Publikationsjahr
2010
Seitenangabe
S. 39-47
Zeitschriftentitel
Quantitative Finance, 10 (2010) 1
DOI
https://doi.org/10.1080/14697680802595692
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)