Invariant cones for jump-diffusions in infinite dimensions
Fuente:
arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2022
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| _version_ | 1866915627486150656 |
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| author | Tappe, Stefan |
| author_facet | Tappe, Stefan |
| contents | In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. Our results apply to the positive cone of abstract $L^2$-spaces. Furthermore, we present a series of applications, where we investigate SPDEs arising in natural sciences and economics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2206_13913 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Invariant cones for jump-diffusions in infinite dimensions Tappe, Stefan Probability Functional Analysis Mathematical Finance In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. Our results apply to the positive cone of abstract $L^2$-spaces. Furthermore, we present a series of applications, where we investigate SPDEs arising in natural sciences and economics. |
| title | Invariant cones for jump-diffusions in infinite dimensions |
| topic | Probability Functional Analysis Mathematical Finance |
| url | https://arxiv.org/abs/2206.13913 |