• Corpus ID: 209516409

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

  title={Positivity of mild solution to stochastic evolution equations with an application to forward rates},
  author={Carlo Marinelli},
  journal={arXiv: Analysis of PDEs},
  • Carlo Marinelli
  • Published 28 December 2019
  • Mathematics
  • arXiv: Analysis of PDEs
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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Thank you for downloading consistency problems for heath jarrow morton interest rate models. Maybe you have knowledge that, people have look numerous times for their chosen books like this