Stochastic invariance of closed sets with non-Lipschitz coefficients (and applications in finance)

Speaker(s): 
Bruno Bouchard (CEREMADE - Université Paris)
Date: 
Thursday, February 2, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

This talk provides a new characterization of the stochastic invariance of a closed subset with respect to a diffusion: we extend the well known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable (on the boundary). In particular, our result can be directly applied to construct affine diffusions and polynomial preserving diffusions on any arbitrary closed set.