Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients
In this paper, by using of the martingale property and positive maximum principle, we investigate the stochastic invariance for a class of hybrid stochastic differential equations (HSDEs) and provide necessary and sufficient conditions for the invariance of closed sets of $\mathbb{R}^d$ with non-Lip...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2020-05-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/math.2020234/fulltext.html |