Invariant cones for jump-diffusions in infinite dimensions

Stefan Tappe

Papers from arXiv.org

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.

Date: 2022-06, Revised 2023-11
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Published in Nonlinear Differential Equations and Applications 31, Article 107, 2024

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2206.13913

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