Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients

Abstract

We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of R^d with respect to a jump-diffusion under weak regularity assumptions on the coefficients. Our main result extends the recent characterization proved in Abi Jaber, Bouchard and Illand (2016) to jump-diffusions. We also derive an equivalent formulation in the semimartingale framework.