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arXiv · 1912.12472

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

Carlo Marinelli
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Abstract

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 space.

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Carlo Marinelli. 2019-12-28. Positivity of mild solution to stochastic evolution equations with an application to forward rates. https://arxiv.org/abs/1912.12472

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