On the Positivity of Local Mild Solutions to Stochastic Evolution Equations

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.