Abstract
We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of $\mathbb{R} ^d$ 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.
Citation
Eduardo Abi Jaber. "Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients." Electron. Commun. Probab. 22 1 - 15, 2017. https://doi.org/10.1214/17-ECP88
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