Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
arXiv:math/0702622
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.
arXiv comment17 pages, final version