Work

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

Year: 2025

Type: book-chapter

Abstract: We prove a maximum principle for mild solutions to stochastic evolution equations with (locally) Lipschitz coefficients and Wiener noise on weighted $$L^2$$ 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.

Source: Positivity

DOI: 10.1007/s11117-025-01159-3

Author: Carlo Marinelli

Institution: University College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,090

Funder: Rheinische Friedrich-Wilhelms-Universität Bonn