66 citations · 165 across the 17 of their papers we have counts for
20 papers
Heath-Jarrow-Merton model with linear volatility
S. Peszat, J. Zabczyk
We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the…
Ergodicity of Burgers' system
Szymon Peszat, Krystyna Twardowska, Jerzy Zabczyk
We consider a stochastic version of a system of coupled two equations formulated by Burgers with the aim to describe the laminar and turbulent motions of a fluid in a channel. The…
On generalized CIR equations
Michal Barski, Jerzy Zabczyk
The paper is concerned with stochastic equations for the short rate process in the affine model of the bond prices. The equation is driven…
Forward rate models with linear volatilities
Michał Barski, Jerzy Zabczyk
Existence of solutions to the Heath-Jarrow-Morton equation of the bond market with linear volatility and general Lévy random factor is studied. Conditions for existence and non-exi…
Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
Michał Barski, Jerzy Zabczyk
The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on . Sufficient conditi…
Gauss-Markov processes on Hilbert spaces
Ben Goldys, Szymon Peszat, Jerzy Zabczyk
K. Itô characterised in \cite{ito} zero-mean stationary Gauss Markov-processes evolving on a class of infinite-dimensional spaces. In this work we extend the work of Itô in the cas…