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Viability of solutions of many-dimensional stochastic differential equations

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Ukrainian Mathematical Journal Aims and scope

Abstract

We establish necessary and sufficient conditions for a many-dimensional diffusion process to reside in a fixed domain with probability one.

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References

  1. J. P. Aubin, “Viability theory”, in: System & Control. Foundation & Applications (1991), p. 543.

  2. I. I. Gikhman and A. V. Skorokhod, Introduction to the Theory of Random Processes [in Russian], Nauka, Moscow (1977).

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Authors
  1. V. A. Gasanenko
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Additional information

Institute of Mathematics, Ukrainian Academy of Sciences, Kiev. Translated from Ukrainskii Matematicheskii Zhurnal. Vol. 49, No. 10, pp. 1316–1323, October, 1997.

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Gasanenko, V.A. Viability of solutions of many-dimensional stochastic differential equations. Ukr Math J 49, 1485–1493 (1997). https://doi.org/10.1007/BF02487434

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  • DOI: https://doi.org/10.1007/BF02487434

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