Invariant measures for the Musiela equation with deterministic diffusion term

DOI10.1007/S007800050072MaRDI QIDQ1979074zbMATH OpenOpenAlexFDO

Authors Tiziano Vargiolu

Publication date 24 May 2000

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

Full work available at URL https://doi.org/10.1007/s007800050072

zbMATH Keywords

invariant measuresSobolev spacestochastic partial differential equationinterest ratesmild solution

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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(11)

• Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
• A stochastic model of economic growth in time-space
• A Wiener Chaos Approach to Hyperbolic SPDEs
• Mean reversion for HJMM forward rate models
• Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
• A stochastic control problem with delay arising in a pension fund model
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
• Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• Approximation and application of the Musiela stochastic PDE in forward rate models

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