Stochastic invariance of closed sets with non-Lipschitz coefficients
From MaRDI portal
Publication:1999922
DOI10.1016/j.spa.2018.06.003zbMath1482.60075arXiv1607.08717OpenAlexW2503623449MaRDI QIDQ1999922
Eduardo Abi Jaber, Bruno Bouchard, Camille Illand
Publication date: 27 June 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.08717
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03)
Related Items (5)
Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients ⋮ Model‐free portfolio theory: A rough path approach ⋮ Viability of an open set for stochastic control systems ⋮ Affine Volterra processes ⋮ Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Polynomial diffusions and applications in finance
- Polynomial diffusions on compact quadric sets
- Affine processes on positive semidefinite matrices
- On strong solutions for positive definite jump diffusions
- Polynomial processes and their applications to mathematical finance
- Stochastic viability of convex sets
- Stochastic optimal control. The discrete time case
- Affine processes and applications in finance
- A geometric characterization of viable sets for controlled degenerate diffusions
- Invariance of stochastic control systems with deterministic arguments
- Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
- Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
- Small time path behavior of double stochastic integrals and applications to stochastic control
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- The multi-dimensional super-replication problem under gamma constraints
- Affine Diffusions with Non-Canonical State Space
- Affine Diffusion Processes: Theory and Applications
- The Elimination Matrix: Some Lemmas and Applications
- Variational Analysis
- Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
- Set-valued analysis
This page was built for publication: Stochastic invariance of closed sets with non-Lipschitz coefficients
