LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
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Abstract: We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional L{'e}vy process so that it admits a unique local mild solution in spaces of functions whose first derivative is square integrable with respect to a weight.
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Cited in
(16)- Forward rate models with linear volatilities
- Well-posedness of monotone semilinear SPDEs with semimartingale noise
- Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
- On the positivity of local mild solutions to stochastic evolution equations
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