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arxiv: 1010.5808 · v2 · pith:CE5PM2KLnew · submitted 2010-10-27 · 🧮 math.PR · q-fin.PR

Heath-Jarrow-Morton-Musiela equation with linear volatility

classification 🧮 math.PR q-fin.PR
keywords conditionssolutionsequationexistencelinearvolatilityconcernedexponent
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The paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for the existence of weak solutions and strong solutions are provided. It is shown that the key role is played by the logarithmic growth conditions of the Laplace exponent.

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