Non-compact-valued stochastic control under state constraints (Q2465751)

The author considers a stochastic control system governed by a control process with values in an unbounded control space. The main objective of the paper is to find necessary and sufficient conditions on the system parameters which guarantee the existence of admissible control processes under which the solution of the model remains in an arbitrarily small neighborhood of a given set. This property called viability of the given set with respect to the control system defined by the model may be viewed as a special kind of stochastic controllability of the system. The problem is solved by discussion of conditions of viscosity solution of the associated Hamilton-Jacobi-Bellnan equation. The results are illustrated by an example in which the author considers an unbounded cylinder and calculates explicit necessary and sufficient conditions for its viability. The control process has a form of unbounded feedback strategy.