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

Carlo Marinelli

Papers from arXiv.org

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.

Date: 2019-12
New Economics Papers: this item is included in nep-ore
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