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Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation

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  • Micha{l} Barski
  • Jerzy Zabczyk

Abstract

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.

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  • Micha{l} Barski & Jerzy Zabczyk, 2015. "Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation," Papers 1512.04714, arXiv.org.
    • Handle: RePEc:arx:papers:1512.04714
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    References listed on IDEAS

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    1. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53, January.
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