33 citations · 135 across the 41 of their papers we have counts for
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math.PR2007★ 5 cited
Local well-posedness of Musiela's SPDE with Lévy noise
Carlo Marinelli
We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional L{é}vy process so that it a…
math.PR2007
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
Carlo Marinelli
We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility an…