Invariant manifolds with boundary for jump-diffusions

DOI10.1214/EJP.V19-2882MaRDI QIDQ2248618zbMATH OpenOpenAlexFDO

Authors Damir Filipović, Stefan Tappe, Josef Teichmann

Publication date 27 June 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.1076

zbMATH Keywords

jump-diffusionstochastic invariancestochastic partial differential equationsubmanifold with boundary

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds with boundary in Hilbert spaces for stochastic partial differential equations driven by Wiener processes and Poisson random measures.

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Cited in

(15)

• Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures
• The geometry of differential constraints for a class of evolution PDEs
• Invariance of closed convex cones for stochastic partial differential equations
• Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
• Foundations of the theory of semilinear stochastic partial differential equations
• On a Heath-Jarrow-Morton approach for stock options
• Flatness of invariant manifolds for stochastic partial differential equations driven by Lévy processes
• Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise
• Viability property of jump diffusion processes on manifolds
• Polynomial diffusions and applications in finance
• Invariant surfaces for certain classes of systems of the second-order to stochastic differential equations with jumps
• Invariant cones for jump-diffusions in infinite dimensions
• Invariant submanifolds for solutions to rough differential equations
• Stochastic partial differential equations and invariant manifolds in embedded Hilbert spaces
• Ornstein–Uhlenbeck processes in Hilbert space and autoregressive moving-average time series

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