Abstract

This note analyzes the mean-reverting behavior of time-homogeneous Heath-Jarrow-Morton (HJM) forward rate models in the weighted Sobolev spaces {Hw}w. An explicit sufficient condition is given under which invariant measures exist for the HJM dynamics. In particular, every HJM model with constant volatility and market price of risk has a family of invariant measures parametrized by the distribution of the long rate.

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