A note of invariant measures for HJM models (Q2488486)
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scientific article; zbMATH DE number 5026054
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| English | A note of invariant measures for HJM models |
scientific article; zbMATH DE number 5026054 |
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A note of invariant measures for HJM models (English)
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24 May 2006
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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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term structure of interest rates
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stochastic partial differential equations
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0.8413840532302856
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0.8359413743019104
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0.8291620016098022
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0.8211557269096375
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0.8192269206047058
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