A note of invariant measures for HJM models (Q2488486)

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.