Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients

被引：1

作者：

Li, Chunhong ^{[1
,2
]}

Liu, Sanxing ^{[2
]}

机构：

[1] Guangzhou Univ, Sch Math & Informat Sci, Guangzhou 510006, Guangdong, Peoples R China

[2] Jiaying Univ, Sch Civil Engn, Meizhou 514015, Guangdong, Peoples R China

来源：

AIMS MATHEMATICS | 2020年 / 5卷 / 04期

关键词：

linear growth condition; martingale problem; hybrid stochastic differential equations; stochastic invariance; STABILITY;

D O I：

10.3934/math.2020234

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 R-d with non-Lipschitz coefficients. Moreover, an example of the most probable phase portrait is given to illustrate the effectiveness of the main results.

引用

页码：3612 / 3633

页数：22

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