Heath–Jarrow–Morton–Musiela equation with Lévy perturbation
2012
The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on $[0,+\infty)$. 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.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
16
References
18
Citations
NaN
KQI