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arXiv · 2206.13913

Invariant cones for jump-diffusions in infinite dimensions

Stefan Tappe
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Abstract

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.

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BibTeXRIS

Stefan Tappe. 2022-06-28. Invariant cones for jump-diffusions in infinite dimensions. https://doi.org/10.1007/s00030-024-00996-7

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