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

Vargiolu, Tiziano, Invariant Measures for the Musiela Equation with Deterministic Diffusion Term. Available at SSRN: https://ssrn.com/abstract=179557

Tiziano Vargiolu (Contact Author)

Department of Mathematics ( email )

Italy
+390498271383 (Phone)

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