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Positivity of mild solution to stochastic evolution equations with an application to forward rates

By Carlo Marinelli
We prove a maximum principle for mild solutions to stochastic evolution equations with (locally) Lipschitz coefficients and Wiener noise on weighted \(L^2\) spaces. As an application, we provide sufficient conditions for the positivity of forward rates in the Heath-Jarrow-Morton model, considering the associated Musiela SPDE on a homogeneous weighted Sobolev... Show more
December 28, 2019
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Positivity of mild solution to stochastic evolution equations with an application to forward rates
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