Local well-posedness of Musiela's SPDE with L\'evy noise
classification
🧮 math.PR
keywords
localmusielaadmitscoefficientconditionsderivativedeterminedifferential
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We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional L{\'e}vy process so that it admits a unique local mild solution in spaces of functions whose first derivative is square integrable with respect to a weight.
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