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- Title
Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework.
- Authors
Cordoni, Francesco; Di Persio, Luca
- Abstract
In this paper we study a particular class of forward rate problems, related to the Vasicek model, where the driving equation is a linear Gaussian stochastic partial differential equation. We first give an existence and uniqueness results of the related mild solution in infinite dimensional setting, then we study the related Ornstein-Uhlenbeck semigroup with respect to the determination of a unique invariant measure for the associated Heath-Jarrow-Morton-Musiela model.
- Subjects
INVARIANTS (Mathematics); MATHEMATICAL models; STOCHASTIC differential equations; EXISTENCE theorems; UNIQUENESS (Mathematics)
- Publication
Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2015, Vol 18, Issue 3, p-1
- ISSN
0219-0257
- Publication type
Article
- DOI
10.1142/S0219025715500228