Stochastic viability for regular closed sets in Hilbert spaces

DOI10.4171/RLM/603MaRDI QIDQ413811zbMATH OpenOpenAlexFDO

Authors Piermarco Cannarsa, Guiseppe Da Prato

Publication date 8 May 2012

Published in Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Serie IX. Rendiconti Lincei. Matematica e Applicazioni (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/rlm/603

zbMATH Keywords

distance functionstochastic differential equations in infinite dimensionsstochastic viability

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

Summary: We present necessary and sufficient conditions to guarantee that at least one solution of an infinite dimensional stochastic differential equation, which starts from a regular closed subset \(K\) of an Hilbert space, remains in \(K\) for all times.

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Cites work

• Differentiability of Lipschitz functions on Banach spaces
• scientific article; zbMATH DE number 1113627 (Why is no real title available?)
• scientific article; zbMATH DE number 2138426 (Why is no real title available?)
• Interest rate dynamics and consistent forward rate curves
• Stochastic Equations in Infinite Dimensions
• Stochastic invariance and consistency of financial models
• Stochastic viability for compact sets in terms of the distance function
• Stochastic viability of convex sets

Cited in

(9)

• Invariance of closed convex sets for stochastic functional differential equations
• Regularity results for nonlinear Young equations and applications
• Viability for coupled SDEs driven by fractional Brownian motion
• Positivity of solutions in a perturbed age-structured model
• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
• On the viability of solutions to conformable stochastic differential equations
• Invariant cones for jump-diffusions in infinite dimensions
• Viability of McKean-Vlasov stochastic differential equations driven by time-changed Brownian motion
• Stochastic viability of convex sets

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