Stochastic viability and a comparison theorem
Volume 68 / 1995
Colloquium Mathematicum 68 (1995), 297-316
DOI: 10.4064/cm-68-2-297-316
Abstract
We give explicit necessary and sufficient conditions for the viability of polyhedrons with respect to Itô equations. Using the viability criterion we obtain a comparison theorem for multi-dimensional Itô processes
