On the positivity of local mild solutions to stochastic evolution equations
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Publication:2107417
DOI10.1007/978-3-030-87432-2_12zbMATH Open1499.60228arXiv1912.13259OpenAlexW2997331844MaRDI QIDQ2107417FDOQ2107417
Authors: Carlo Marinelli, Luca Scarpa 
Publication date: 1 December 2022
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.
Full work available at URL: https://arxiv.org/abs/1912.13259
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Cited In (5)
- Local mild solutions for rough stochastic partial differential equations
- Invariant cones for jump-diffusions in infinite dimensions
- Reaction-diffusion equations with transport noise and critical superlinear diffusion: local well-posedness and positivity
- On the positivity of solutions of systems of stochastic PDEs
- Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
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