Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation
classification
💱 q-fin.MF
math.PR
keywords
equationconditionsexistenceglobalheath-jarrow-morton-musielaanalyzedbondclose
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The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on $[0,+\infty)$. Sufficient conditions for local and global existence are obtained . For equation with the linear diffusion term the conditions for global existence are close to the necessary ones.
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