The Viability Property for Path-dependent SDE under Open Constraints
Zhang, Liangquan
Original · EN
In this note, we study the viability of a bounded open domain in R% ⁿ for a process driven by a path-dependent stochastic differential equation with Lipschitz data. We extend an invariant result of Cannarsa, Da. Prato and Frankowska [Indiana Univ. Math. J. 59 (2010) 53-78] to a non-Markovian setting.
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