Stochastic invariance of closed sets with non-Lipschitz coefficients

DOI10.1016/j.spa.2018.06.003zbMath1482.60075arXiv1607.08717MaRDI QIDQ1999922

Bruno Bouchard, Eduardo Abi Jaber, 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

zbMATH Keywords

stochastic differential equation; stochastic invariance; polynomial diffusions; affine diffusions

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

93E03: Stochastic systems in control theory (general)