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
下载
收藏
页码：3612 / 3633
页数：22
相关论文
共 50 条
12345