Stochastic control with exit time and constraints, application to small time attainability of sets

DOI10.1007/s00245-003-0789-zzbMath1059.93133OpenAlexW2098034468MaRDI QIDQ1879224

Marc Quincampoix, Aurel Răşcanu, Catherine Rainer, Rainer Buckdahn

Publication date: 22 September 2004

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-003-0789-z

zbMATH Keywords

exit timestochastic viabilitynonnegative viscosity supersolutionsmall-time local attainability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Attainable sets, reachability (93B03) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (5)

Minimal controllability time for systems with nonlinear drift under a compact convex state constraint ⋮ Stochastic viability and dynamic programming ⋮ Non-compact-valued stochastic control under state constraints ⋮ A Kalman-type condition for stochastic approximate controllability ⋮ Stochastic control and compatible subsets of constraints

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