A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS

DOI10.1081/PDE-120016135zbMath1036.49010WikidataQ57635948 ScholiaQ57635948MaRDI QIDQ4796719

Nizar Touzi, Halil Mete Soner

Publication date: 2002

Published in: Communications in Partial Differential Equations (Search for Journal in Brave)

zbMATH Keywords

inverse mean curvature flowgeometric flowsstochastic target problemFeynman-Kac representationreachability setssublevel setscodimension \(k\) mean curvature flowlevel set solution

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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• Superreplication Under Gamma Constraints
• Front Propagation and Phase Field Theory
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

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