Well-posedness and invariant measures for HJM models with deterministic volatility and L\'evy noise
classification
🧮 math.PR
keywords
conditionsdeterministicexistenceinvariantmeasuresnoisevolatilityabsence
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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.
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