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Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

Carlo Marinelli
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Abstract

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 Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

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Carlo Marinelli. 2008-11-04. Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise. https://arxiv.org/abs/math/0702622

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