On the positivity of local mild solutions to stochastic evolution equations

DOI10.1007/978-3-030-87432-2_12MaRDI QIDQ2107417zbMATH OpenOpenAlexFDO

Authors Carlo Marinelli, Luca Scarpa

Publication date 1 December 2022

Full work available at URL https://arxiv.org/abs/1912.13259

zbMATH Keywords

mild solutionspositivitystochastic evolution equationsHJM model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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.

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Cites work

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Cited in

(5)

• Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
• Local mild solutions for rough stochastic partial differential equations
• Invariant cones for jump-diffusions in infinite dimensions
• On the positivity of solutions of systems of stochastic PDEs
• Reaction-diffusion equations with transport noise and critical superlinear diffusion: local well-posedness and positivity

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