Invariance of closed convex cones for stochastic partial differential equations

DOI10.1016/J.JMAA.2017.02.044zbMATH Open1383.60052arXiv1906.10352OpenAlexW2594559826MaRDI QIDQ2408615FDOQ2408615

Authors: Stefan Tappe 

Publication date: 12 October 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: The goal of this paper is to clarify when a closed convex cone is invariant for a stochastic partial differential equation (SPDE) driven by a Wiener process and a Poisson random measure, and to provide conditions on the parameters of the SPDE, which are necessary and sufficient.

Full work available at URL: https://arxiv.org/abs/1906.10352

Recommendations

• Invariance of closed convex sets for stochastic functional differential equations
• Stochastic invariance of closed sets with non-Lipschitz coefficients
• Invariance for stochastic reaction-diffusion equations
• Ergodicity for a class of semilinear stochastic partial differential equations
• Invariance for stochastic equations with regular coefficients

zbMATH Keywords

stochastic partial differential equationstochastic invarianceclosed convex coneparallel function

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• Title not available (Why is that?)
• Stochastic Equations in Infinite Dimensions
• Semigroups of linear operators and applications to partial differential equations
• A remark on regularization in Hilbert spaces
• Functional analysis and infinite-dimensional geometry
• A concise course on stochastic partial differential equations
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• Stochastic Partial Differential Equations with Levy Noise
• On the construction of finite dimensional realizations for nonlinear forward rate models
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Affine realizations with affine state processes for stochastic partial differential equations
• An alternative approach on the existence of affine realizations for HJM term structure models.
• On the geometry of the term structure of interest rates
• Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations
• Real-world forward rate dynamics with affine realizations
• Existence of affine realizations for Lévy term structure models
• Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
• Term structure models driven by Wiener processes and Poisson measures: existence and positivity
• Smooth approximations
• Invariant manifolds with boundary for jump-diffusions
• Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
• Title not available (Why is that?)
• Smooth approximation of Lipschitz functions on Riemannian manifolds
• Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures
• Title not available (Why is that?)
• Stochastic partial differential equations: an introduction
• Comparison theorems for stochastic evolution equations
• Uniformly Gâteaux smooth approximations on \(c_0(\varGamma)\)
• C1-fine approximation of functions on Banach spaces with unconditional basis
• Approximation de fonctions différentiables sur certains espaces de Banach
• Title not available (Why is that?)
• Approximation by \(C^p\)-smooth, Lipschitz functions on Banach spaces
• Title not available (Why is that?)
• Invariant manifolds for weak solutions to stochastic equations

Cited In (7)

• On the viability of solutions to conformable stochastic differential equations
• Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients
• Title not available (Why is that?)
• Invariant cones for jump-diffusions in infinite dimensions
• Convex concentration for some additive functionals of jump stochastic differential equations
• Invariance of closed convex sets for stochastic functional differential equations
• Closability of quadratic forms associated to invariant probability measures of SPDEs

This page was built for publication: Invariance of closed convex cones for stochastic partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2408615)