Article2010

LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE

56 citations0/0 files storedMathematical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Differential Equations Analysis Differential Equations and Boundary Problems

Abstract

We determine sufficient conditions on the volatility coefficient of Musiela’s stochastic partial differential equation driven by an infinite dimensional Lévy process so that it admits a unique local mild solution in spaces of functions whose first derivative is square integrable with respect to a weight.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 56 citations exist upstream.

References

2005Stochastic Integration and Differential Equations 1982Semimartingales 1997Towards a general theory of bond markets 2005Stochastic Integration and Differential Equations. Second Edition.2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models 1999Term Structure Models Driven by General Lévy Processes 1991Malliavin calculus for processes with jumps 1997The Euler scheme for Lévy driven stochastic differential equations

Cited by

2014On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions 2012Heath–Jarrow–Morton–Musiela equation with Lévy perturbation 2011Forward rate models with linear volatilities

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.