Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations
研究了一类Banach空间中的随机发展方程解的存在唯一性，并将其应用于Heath-Jarrow-Morton-Musiela利率模型，证明了加权Lebesgue和Sobolev空间中解的存在唯一性，以及不变测度的存在条件。
Abstract The aim of this paper is threefold. Firstly, we study stochastic evolution equations (with the linear part of the drift being a generator of a C 0 $C_{0}$ -semigroup) driven by an infinite-dimensional cylindrical Wiener process. In particular, we prove, under some sufficient conditions on the coefficients, the existence and uniqueness of solutions for these stochastic evolution equations in a class of Banach spaces satisfying the so-called H $H$ -condition. Moreover, we analyse the Markov property of the solutions. Secondly, we apply the abstract results obtained in the first part to prove the existence and uniqueness of solutions to the Heath–Jarrow–Morton–Musiela (HJMM) equations in weighted Lebesgue and Sobolev spaces. Finally, we study the ergodic properties of the solutions to the HJMM equations. In particular, we find a sufficient condition for the existence and uniqueness of invariant measures for the Markov semigroup associated to the HJMM equations (when the coefficients are time-independent) in the weighted Lebesgue spaces. Our paper is a modest contribution to the theory of financial models in which the short rate can be undefined.