Invariant measures for the Musiela equation with deterministic diffusion term

DOI10.1007/s007800050072zbMath0944.60068OpenAlexW1970745415MaRDI QIDQ1979074

Tiziano Vargiolu

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050072

zbMATH Keywords

Sobolev spaceinvariant measuresmild solutioninterest ratesstochastic partial differential equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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