Stochastic invariance of closed sets with non-Lipschitz coefficients

DOI10.1016/j.spa.2018.06.003zbMath1482.60075arXiv1607.08717OpenAlexW2503623449MaRDI QIDQ1999922

Eduardo Abi Jaber, Bruno Bouchard, Camille Illand

Publication date: 27 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.08717

zbMATH Keywords

stochastic differential equationstochastic invariancepolynomial diffusionsaffine diffusions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03)

Related Items (5)

Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients ⋮ Model‐free portfolio theory: A rough path approach ⋮ Viability of an open set for stochastic control systems ⋮ Affine Volterra processes ⋮ Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces

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