LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
نویسندگان
چکیده
منابع مشابه
Local well-posedness of Musiela’s SPDE with Lévy noise
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. 2000 Mathematics Subject Classification: 60G51, 60H15, 91B28.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2010
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2010.00403.x