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LOCAL WELL‐POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
Author(s) -
Marinelli Carlo
Publication year - 2010
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.2010.00403.x
Subject(s) - square integrable function , mathematics , stochastic partial differential equation , partial differential equation , volatility (finance) , stochastic differential equation , mathematical analysis , derivative (finance) , stochastic volatility , partial derivative , integrable system , econometrics , economics , financial economics
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.