Invariance of closed convex cones for stochastic partial differential equations

Abstract

The goal of this paper is to clarify when a closed convex cone is invariant for a stochastic partial differential equation (SPDE) driven by a Wiener process and a Poisson random measure, and to provide conditions on the parameters of the SPDE, which are necessary and sufficient.

41 pages, 2 figures

References in corpus (4)

• An alternative approach on the existence of affine realizations for HJM term structure models
• Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures
• Real-world forward rate dynamics with affine realizations
• Affine realizations with affine state processes for stochastic partial differential equations

Cited by in corpus (2)

• Invariant cones for jump-diffusions in infinite dimensions
• Translation Invariant Diffusions and Stochastic Partial Differential Equations in ${\cal S}^{\prime}