具有Lévy噪声和确定波动率的HJM模型的适定性和不变测度
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
摘要：
给出了具有确定波动率和希尔伯特空间值驱动Lévy噪声的Musiela随机偏微分方程的不变测度存在唯一性和遍历性的充分条件.讨论了无套利和存在温和解的条件。
英文摘要：
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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