The deterministic small-noise limit of the log-normal quasi-Gaussian HJM model explodes in finite time when mean reversion beta is below the critical value sigma times the square root of twice the initial short rate, with explicit upper bounds on the explosion time.
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Small-noise limit of the quasi-Gaussian log-normal HJM model
The deterministic small-noise limit of the log-normal quasi-Gaussian HJM model explodes in finite time when mean reversion beta is below the critical value sigma times the square root of twice the initial short rate, with explicit upper bounds on the explosion time.