In this article the forward rates equation of the Musiela model is analysed. The equation is studied in the Sobolev spaces H1(R+) and H1(R+). Explicit mild solutions and equivalent conditions for the existence and uniqueness of invariant measures are presented.
Invariant measures for the Musiela equation with deterministic diffusion term
VARGIOLU, TIZIANO
1999
Abstract
In this article the forward rates equation of the Musiela model is analysed. The equation is studied in the Sobolev spaces H1(R+) and H1(R+). Explicit mild solutions and equivalent conditions for the existence and uniqueness of invariant measures are presented.
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