Invariant cones for jump-diffusions in infinite dimensions
Probability
2025-11-21 v2 Functional Analysis
Mathematical Finance
Abstract
In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. Our results apply to the positive cone of abstract -spaces. Furthermore, we present a series of applications, where we investigate SPDEs arising in natural sciences and economics.
Cite
@article{arxiv.2206.13913,
title = {Invariant cones for jump-diffusions in infinite dimensions},
author = {Stefan Tappe},
journal= {arXiv preprint arXiv:2206.13913},
year = {2025}
}
Comments
46 pages