Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
Probability
2017-09-21 v2
Abstract
We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of R^d with respect to a jump-diffusion under weak regularity assumptions on the coefficients. Our main result extends the recent characterization proved in Abi Jaber, Bouchard and Illand (2016) to jump-diffusions. We also derive an equivalent formulation in the semimartingale framework.
Cite
@article{arxiv.1612.07647,
title = {Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients},
author = {Eduardo Abi Jaber},
journal= {arXiv preprint arXiv:1612.07647},
year = {2017}
}