On the positivity of local mild solutions to stochastic evolution equations

Carlo Marinelli and Luca Scarpa

Papers from arXiv.org

Abstract: 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 Musiela's stochastic PDE.

Date: 2019-12
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1912.13259

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