Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
Introducing the concept of contingent curvature of a set allows the authors to characterize the stochastic viability conditions for any closed subset and to show the characterization theorem. The concept of contingent epi-Hessian of an extended function with values in \( R \cup \{ + \infty \}\) is also introduced and the relation between it and the contingent curvature to the epigraph of the function is used to characterize the functions the epigraph of which is invariant under a system of stochastic differential equations as a generalized solution to equivalent systems of first- and second-order Hamilton-Jacobi partial differential equations. By the way, relating the invariance of the epigraph of a valuation function to the Black-Scholes partial differential equation in finance is considered, too.
- A stochastic filippov theorem
- Approximation of the viability kernel
- Curvature and distance function from a manifold
- Existence of stochastic control under state constraints
- Generalized Hessian Properties of Regularized Nonsmooth Functions
- scientific article; zbMATH DE number 3940091 (Why is no real title available?)
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- Invariant measure for a class of parabolic degenerate equations
- Lipschitz Behavior of Solutions to Convex Minimization Problems
- Lipschitzian properties of multifunctions
- Méthodes intrinsèques pour le contrôle et l'optimisation des coques minces
- Propriété de viabilité pour des équations différentielles stochastiques rétrogrades et applications à des équations aux dérivées partielles
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- Stochastic invariance for differential inclusions
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- Viability for constrained stochastic differential equations
- Viability kernels and capture basins of sets under differential inclusions
- 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
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- 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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