Invariant manifolds with boundary for jump-diffusions

Damir Filipović (EPFL and Swiss Finance Institute)
Stefan Tappe (Leibniz Universität Hannover)
Josef Teichmann (ETH Zürich)

Abstract


We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds with boundary in Hilbert spaces for stochastic partial differential equations driven by Wiener processes and Poisson random measures.

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Pages: 1-28

Publication Date: June 22, 2014

DOI: 10.1214/EJP.v19-2882

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