Invariance of stochastic control systems with deterministic arguments

DOI10.1016/J.JDE.2004.01.007MaRDI QIDQ1880747zbMATH OpenOpenAlexFDO

Authors Guiseppe Da Prato, Hélène Frankowska

Publication date 1 October 2004

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jde.2004.01.007

zbMATH Keywords

state constraintsviabilitystochastic invariancestochastic control systemsdeterministic control system with two controlsregularity of a diffusionstochastic control system with time independent controlsStratonovich drift

Mathematics Subject Classification ID

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

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Cited in

(25)

• On the viability of solutions to conformable stochastic differential equations
• Dynamic decentralization of harvesting constraints in the management of tychastic evolution of renewable resources
• Affine processes on positive semidefinite matrices
• The statistically invariant sets of controllable systems with random parameters
• Invariance for rough differential equations
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Non-compact-valued stochastic control under state constraints
• Viability for coupled SDEs driven by fractional Brownian motion
• The stochastic reach-avoid problem and set characterization for diffusions
• Almost sure properties of controlled diffusions and worst case properties of deterministic systems
• Probability measure-valued polynomial diffusions
• A converse Lyapunov theorem for almost sure stabilizability
• Polynomial diffusions and applications in finance
• Invariance of closed convex sets for stochastic functional differential equations
• Anticipating shocks in the state space: characterizing robustness and building increasingly robust evolutions
• Stochastic invariance of closed sets with non-Lipschitz coefficients
• Viability of an open set for stochastic control systems
• Stochastic viability of convex sets
• Infinitesimal methods in control theory: deterministic and stochastic
• Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
• Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
• scientific article; zbMATH DE number 5050198 (Why is no real title available?)
• Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
• Invariance of stochastic diffusion systems
• On asymptotic equivalence of solutions of stochastic and ordinary equations

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