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dc.contributor.authorAbi Jaber, Eduardo
dc.date.accessioned2018-01-11T10:40:24Z
dc.date.available2018-01-11T10:40:24Z
dc.date.issued2017
dc.identifier.issn1083-589X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17268
dc.language.isoenen
dc.subjectsemimartingaleen
dc.subjectjumpsen
dc.subjectStochastic differential equationen
dc.subjectstochastic invarianceen
dc.subject.ddc519en
dc.titleStochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficientsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameElectronic Communications in Probability
dc.relation.isversionofjnlvol22en
dc.relation.isversionofjnlissuepaper n°53en
dc.relation.isversionofjnldate2017
dc.relation.isversionofdoi10.1214/17-ECP88en
dc.relation.isversionofjnlpublisherUniversity of Washingtonen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-01-11T10:35:46Z
hal.person.labIds60


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