Invariant Measures for the Musiela Equation with Deterministic Diffusion Term
Posted: 25 Oct 1999
Abstract
In this article the forward rates equation of the Musiela model is analysed. The equation is studied in some Sobolev spaces where the first derivative is well defined. Explicit mild solutions and equivalent conditions for the existence and uniqueness of invariant measures are presented.
JEL Classification: E43
Suggested Citation: Suggested Citation
Vargiolu, Tiziano, Invariant Measures for the Musiela Equation with Deterministic Diffusion Term. Available at SSRN: https://ssrn.com/abstract=179557
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