On the positivity of local mild solutions to stochastic evolution equations


الملخص بالإنكليزية

We provide sufficient conditions on the coefficients of a stochastic evolution equation on a Hilbert space of functions driven by a cylindrical Wiener process ensuring that its mild solution is positive if the initial datum is positive. As an application, we discuss the positivity of forward rates in the Heath-Jarrow-Morton model via Musielas stochastic PDE.

تحميل البحث