Local well-posedness of Musiela's SPDE with Lévy noise

2007/04/18 by Carlo Marinelli, Marinelli, Carlo · 1 citation
Economics, Econometrics and Finance · Mathematics · Social Sciences · #60G51 #60H15 #91B28 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60G51 #msc:60H15 #msc:91B28

paper · pdf · doi:10.48550/arxiv.0704.2380

Final version

openalex publication_date 2007/04/18 · arxiv created 2008/08/22 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

Cited by

• On maximal inequalities for purely discontinuous martingales in infinite dimensions

Related

• Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
• Strong solutions for SPDE with locally monotone coefficients driven by Lévy noise
• Stochastic PDEs in S^′ for SDEs driven by Lévy noise
• Malliavin differentiability of solutions of SPDEs with Lévy white noise
• Singular SDEs with critical non-local and non-symmetric Lévy type generator