A note of invariant measures for HJM models

DOI10.1007/S00780-004-0143-6MaRDI QIDQ2488486zbMATH OpenOpenAlexFDO

Authors Michael R. Tehranchi

Publication date 24 May 2006

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-004-0143-6

zbMATH Keywords

stochastic partial differential equationsterm structure of interest rates

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Review text

This paper analyses the mean-reverting behaviour of time-homogeneous Heath-Jarrow-Morton (HJM) forward rate models in the weighted Sobolev spaces \(\{H_w\}\). The main theorem states that under an explicit sufficient condition there exists a family of invariant measures for the HJM dynamics. Since conditions of the theorem are trivially satisfied when the volatility and market price of risk are constant, the paper is concluded with a description of the invariant measures of the linear HJM models on this class of state spaces.

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Cited in

(21)

• Exponential moments for HJM models with jumps
• Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
• On a class of stochastic partial differential equations with multiple invariant measures
• Invariant measures for multidimensional fractional stochastic volatility models
• Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
• Cointegration in continuous time for factor models
• The term structure of implied volatility in symmetric models with applications to Heston
• Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
• A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Mean reversion for HJMM forward rate models
• Growth bound for the shift semigroup on weighted Sobolev spaces
• The small and large time implied volatilities in the minimal market model
• Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
• Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
• Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
• Stochastic invariance and consistency of financial models
• Dynamically consistent analysis of realized covariations in term structure models
• Positivity of mild solutions to stochastic evolution equations with an application to forward rates
• On a stochastic heat equation with first order fractional noises and applications to finance
• Existence of Lévy term structure models

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