Year: 2012
Type: preprint
Abstract: In this note, we study the viability of a bounded open domain in $\mathbb{R}% ^{n}$ for a process driven by a path-dependent stochastic differential equation with Lipschitz data. We extend an invariant result of Cannarsa, Da. Prato and Frankowska [\textit{Indiana Univ. Math. J.} \textbf{59} (2010) 53-78] to a non-Markovian setting.
Source: arXiv (Cornell University)
Author: Zhang, Liangquan
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1529325937