Local Well-Posedness of Musiela's SPDE with Lévy Noise

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2007Embargo end date: 01 Jan 2007 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Marinelli, Carlo;

doi: 10.2139/ssrn.979064 , 10.48550/arxiv.0704.2380

arXiv: 0704.2380

Local Well-Posedness of Musiela's SPDE with Lévy Noise

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Abstract

We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional L{é}vy 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.

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Related Organizations

University of Bonn
Germany

Keywords

maximal inequalities, Probability (math.PR), Musiela's stochastic PDE, 60G51; 60H15; 91B28, stochastic PDEs with jumps, 91B28, HJM model, 60H15, FOS: Mathematics, Financial applications of other theories, Mathematics - Probability, 60G51

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