Stochastic invariance of closed sets with non-Lipschitz coefficients
  This paper provides a new characterization of the stochastic invariance of a closed subset of R^d 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: we only assume that the covariance matrix is. In particular, our result can be directly applied to construct affine diffusions and polynomial preserving diffusions on any arbitrary closed set. 
Eduardo Abi Jaber (CEREMADE), Bruno Bouchard (CEREMADE), Camille   Illand, Eduardo Jaber
math.PR