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