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arXiv · 0704.2380

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

Carlo Marinelli
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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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Carlo Marinelli. 2008-08-22. Local well-posedness of Musiela's SPDE with Lévy noise. https://arxiv.org/abs/0704.2380

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