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Article Dans Une Revue Electronic Communications in Probability Année : 2017

Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients

Résumé

We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of R^d with respect to a jump-diffusion under weak regularity assumptions on the coefficients. Our main result extends the recent characterization proved in Abi Jaber, Bouchard and Illand (2016) to jump-diffusions. We also derive an equivalent formulation in the semimartingale framework.
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Dates et versions

hal-01421093 , version 1 (21-12-2016)
hal-01421093 , version 2 (19-09-2017)

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Citer

Eduardo Abi Jaber. Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients. Electronic Communications in Probability, 2017, Volume 22 (2017), paper no. 53. ⟨hal-01421093v2⟩
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