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

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 نشر من قبل Carlo Marinelli
 تاريخ النشر 2019
  مجال البحث
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 تأليف Carlo Marinelli




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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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