Tehranchi, Michael - In: Finance and Stochastics 9 (2005) 3, pp. 389-398
This note analyzes the mean-reverting behavior of time-homogeneous Heath-Jarrow-Morton (HJM) forward rate models in the weighted Sobolev spaces {H<Subscript> w </Subscript>}<Subscript> w </Subscript>. An explicit sufficient condition is given under which invariant measures exist for the HJM dynamics. In particular, every HJM model with...</subscript></subscript>
