The viability property of controlled jump diffusion processes

DOI10.1007/S10114-008-4528-XzbMath1156.60317OpenAlexW1984631587MaRDI QIDQ2519342

Shige Peng, Xue-hong Zhu

Publication date: 26 January 2009

Full work available at URL: https://doi.org/10.1007/s10114-008-4528-x

zbMATH Keywords

viscosity solutionintegrodifferential equationviability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

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• The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• Viability for constrained stochastic differential equations
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Viscosity Solutions of Hamilton-Jacobi Equations
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• User’s guide to viscosity solutions of second order partial differential equations
• Existence of stochastic control under state constraints

Related Items (10)

Viability property of jump diffusion processes on manifolds ⋮ Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks ⋮ Periodic solutions of stochastic functional differential equations with jumps via viability ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations ⋮ Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application ⋮ Border Avoidance: Necessary Regularity for Coefficients and Viscosity Approach ⋮ On the comparison theorem for multi-dimensional \(G\)-SDEs ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

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