Heath-Jarrow-Morton-Musiela equation with Levy perturbation

被引：7

作者：

Barski, Michal ^{[1
,2
]}

Zabczyk, Jerzy ^{[3
]}

机构：

[1] Univ Leipzig, Fac Math & Comp Sci, Leipzig, Germany

[2] Cardinal Stefan Wyszynski Univ Warsaw, Fac Math, Warsaw, Poland

[3] Polish Acad Sci, Inst Math, Warsaw, Poland

来源：

JOURNAL OF DIFFERENTIAL EQUATIONS | 2012年 / 253卷 / 09期

关键词：

TERM STRUCTURE MODELS;

D O I：

10.1016/j.jde.2012.06.022

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on [0, +infinity). Sufficient conditions for local and global existence are obtained. For equation with the linear diffusion term the conditions for global existence are close to the necessary ones. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：2657 / 2697

页数：41

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