Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature

DOI10.1081/SAP-120024699MaRDI QIDQ4421477zbMATH OpenOpenAlexFDO

Authors Jean-Pierre Aubin, Halim Doss

Publication date 27 August 2003

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-120024699

zbMATH Keywords

Black-Scholes partial differential equations in mathematical financecontingent curvaturecontingent epi-Hessianderivatives of set-valued mapsHamilton-Jacobi equationstochastic ordinary differential equationsstochastic viability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

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Cites work

• A stochastic filippov theorem
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• scientific article; zbMATH DE number 3940091 (Why is no real title available?)
• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 1250541 (Why is no real title available?)
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
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Cited in

(12)

• Invariance of closed convex sets for stochastic functional differential equations
• Invariance of stochastic control systems with deterministic arguments
• Stochastic invariance of closed sets with non-Lipschitz coefficients
• Viability for coupled SDEs driven by fractional Brownian motion
• Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• Dynamic decentralization of harvesting constraints in the management of tychastic evolution of renewable resources
• Almost sure properties of controlled diffusions and worst case properties of deterministic systems
• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
• On the viability of solutions to conformable stochastic differential equations
• Viability of McKean-Vlasov stochastic differential equations driven by time-changed Brownian motion
• Systems with distributions and viability theorem

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