Work

Viability of moving sets for stochastic differential equation

Year: 2002

Type: article

Abstract: We study the existence of solutions of stochastic differential equations with a state constraint depending on the time. We provide a necessary and sufficient characterization of closed, time depending constraints for which there exists a solution of a given stochastic differential equation. This characterization is given in terms of viscosity super- and subsolution of some suitable partial differentiable equations. The above property, called viability, is stated for both forward and backward stochastic differential equations.

Source: Advances in Differential Equations

DOI: 10.57262/ade/1367241459

Authors: Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Aurel Răşcanu

Institutions: Alexandru Ioan Cuza University, Université de Bretagne Occidentale, Université de Bretagne Occidentale

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: Université de Bretagne Occidentale

OpenAlex ID: W1779481391