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Stochastic invariance of closed sets with non-Lipschitz coefficients

hal.structure.identifier
dc.contributor.authorAbi Jaber, Eduardo*
hal.structure.identifier
dc.contributor.authorBouchard, Bruno*
hal.structure.identifier
dc.contributor.authorIlland, Camille*
dc.date.accessioned2018-09-12T10:19:17Z
dc.date.available2018-09-12T10:19:17Z
dc.date.issued2019
dc.identifier.issn0304-4149
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17999
dc.language.isoenen
dc.subjectaffine diffusions
dc.subjectpolynomial preserving diffusions
dc.subjectstochastic invariance
dc.subjectStochastic differential equation
dc.subject.ddc519en
dc.titleStochastic invariance of closed sets with non-Lipschitz coefficients
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be directly applied to construct affine diffusions and polynomial preserving diffusions on any arbitrary closed set.
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol129
dc.relation.isversionofjnlissue5
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages1726-1748
dc.relation.isversionofdoi10.1016/j.spa.2018.06.003
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01349639
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingouien
dc.relation.forthcomingprintouien
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dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2019-04-12T16:27:06Z
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