Existence of Lévy term structure models (Q928496)

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scientific article; zbMATH DE number 5290178
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    Existence of Lévy term structure models
    scientific article; zbMATH DE number 5290178

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      Existence of Lévy term structure models (English)
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      18 June 2008
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      The authors consider Lévy term structure model for the forward rate process that includes stochastic volatility process. This leads to infinite-dimensional equation that is not simply a system of infinitely many univariate stochastic equations but involve complicated functional dependence. The existence and in some special cases the uniqueness proof for the Lévy case of the mentioned above version of Heath-Jarrow-Morton-Musiela equation is provided for various choices of the state Hilbert space \(H\). The existence result is based on a general result for Hibert space valued stochastic equations. The càdlág property of the solution is discussed as it is important for financial applications.
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      Forward curve spaces
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      Lévy term structure models
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      stochastic integration in Hilbert spaces
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      strong, weak and mild solutions of infinite dimensional stochastic differential equations
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