Viability of moving sets for stochastic differential equation.

MaRDI QIDQ1405967zbMATH OpenFDO

Authors Marc Quincampoix, Catherine Rainer, Aurel Răşcanu, Rainer Buckdahn

Publication date 2 March 2004

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

zbMATH Keywords

backward stochastic differential equationsviabilitysemilinear parabolic partial differential equationsviscosity subsolutionviscosity supersolutionclosed and time depending constraintforward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(16)

• Stochastic control and compatible subsets of constraints
• Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion
• On the viability of solutions to conformable stochastic differential equations
• Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
• Viability for differential equations driven by fractional Brownian motion
• Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application
• Viability for stochastic differential equations driven by \(G\)-Brownian motion
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Invariance for rough differential equations
• Invariance for stochastic differential systems with time-dependent constraining sets
• The viability property for path-dependent SDE under open constraints
• Stochastic viability for compact sets in terms of the distance function
• Viability of moving sets for a nonlinear Neumann problem
• Viability of an open set for stochastic control systems
• Representation theorem and viability property for multidimensional BSDEs and their applications
• Viability for impulsive stochastic differential inclusions driven by fractional Brownian motion

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