Viability Property of Jump Diffusion Processes on Manifolds

被引：1

作者：

Zhu, Xue-hong ^{[1
]}

Liu, Guang-zu ^{[2
]}

机构：

[1] Nanjing Univ Aeronaut & Astronaut, Sch Sci, Nanjing 210016, Jiangsu, Peoples R China

[2] Nanjing Univ Sci & Technol, Sch Elect & Opt Engn, Nanjing 210014, Jiangsu, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2016年 / 32卷 / 02期

关键词：

viability property; viscosity solution; manifold;

D O I：

10.1007/s10255-016-0559-8

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this note, we give a necessary and sufficient condition for viability property of diffusion processes with jumps on closed submanifolds of R-m. Our result is the system is viable in a closed submanifold K iff the coefficients are tangent to K along K if the equation is in the sense of stratonovich integral and the solution jumps from K to K.

引用

页码：349 / 354

页数：6

共 37 条

[1] Viability Property of Jump Diffusion Processes on Manifolds
Xue-hong ZHU
Guang-zu LIU
Acta Mathematicae Applicatae Sinica, 2016, 32 (02) : 349 - 354
[2] Viability property of jump diffusion processes on manifolds
Xue-hong Zhu
Guang-zu Liu
Acta Mathematicae Applicatae Sinica, English Series, 2016, 32 : 349 - 354
[3] The viability property of controlled jump diffusion processes
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ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2008, 24 (08) : 1351 - 1368
[4] The Viability Property of Controlled Jump Diffusion Processes
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Acta Mathematica Sinica(English Series), 2008, 24 (08) : 1351 - 1368
[5] The viability property of controlled jump diffusion processes
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Xue Hong Zhu
Acta Mathematica Sinica, English Series, 2008, 24 : 1351 - 1368
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Chinese Science Bulletin, 1995, (14) : 1145 - 1149
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CHINESE SCIENCE BULLETIN, 1995, 40 (14): : 1145 - 1149
[8] Optimal Stopping Problem Associated with Jump-diffusion Processes
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Communications in Mathematical Physics, 1999, 206 (2) : 429 - 445
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Inventiones mathematicae, 2004, 155 : 55 - 80

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