Invariance for stochastic equations with regular coefficients
A random process \(X(t)\), where \(t\in J\) and \(J\) is an interval in \(\mathbb{R}\), is said to be viable in \(K\), a subset of \(\mathbb{R}^m\), if \(P[X(t)\in K\), \(t\in J]=1\). A set \(K\subset \mathbb{R}^m\) is invariant by the Itô equation \[ X(t)=x+\int^t_0 f(X(s))ds+\int^t_0 g(X(s)) dW(s)\tag{*} \] if every solution \(X(\cdot)\) to (*), starting at any \(x\in K\), is viable in \(K\) on \([0,\infty)\). Using the idea of \(r\)-contingent cones, the author provides a criterion for the invariance of each closed subset of \(\mathbb{R}^m\). A similar criterion is also provided using Stratonovich rather than Itô equations.
- Regularity of finite-dimensional realizations for evolution equations
- Invariance of stochastic control systems with deterministic arguments
- Stochastic Lyapunov method
- Stochastic invariance of closed sets with non-Lipschitz coefficients
- Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients
- Invariance for rough differential equations
- Invariance of closed convex cones for stochastic partial differential equations
- A criterion for invariant measures of Itô processes based on the symbol
- On invariance of linear subspaces for stochastic evolution equations
- Non-random Invariant Sets for Some Systems of Parabolic Stochastic Partial Differential Equations
- scientific article; zbMATH DE number 4092493 (Why is no real title available?)
- scientific article; zbMATH DE number 8367 (Why is no real title available?)
- scientific article; zbMATH DE number 522765 (Why is no real title available?)
- Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
- Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
- Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application
- Invariant submanifolds for solutions to rough differential equations
- Stochastic partial differential equations and invariant manifolds in embedded Hilbert spaces
- A note on invariant manifolds for stochastic partial differential equations in the framework of the variational approach
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