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.
File in questo prodotto:
File Dimensione Formato  
fulltext5.pdf

accesso aperto

Tipologia: Published (publisher's version)
Licenza: Accesso gratuito
Dimensione 86.8 kB
Formato Adobe PDF
86.8 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/120464
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
  • OpenAlex ND
social impact