Sufficient Conditions for Terminal Invariance of Stochastic Jump Diffusion Systems

Sufficient conditions for the terminal invariance of nonlinear dynamic stochastic controlled systems (jump diffusions) are formulated and proved. The jump component has the form of an integral over a random Poisson measure. The parameters of this measure (the intensity and distribution of the values of jumps) are assumed to change over time. The conditions of invariance with respect to perturbations for a given initial state and also the conditions of absolute invariance (which ensure the constancy of a terminal criterion for any initial state) are proposed. The results are applied to a number of model examples, which include the numerical simulation and analytical study of the designed terminally invariant dynamic systems.