Viability of moving sets for stochastic differential equation.
zbMATH Open1037.60055MaRDI QIDQ1405967FDOQ1405967
Rainer Buckdahn, Catherine Rainer, Marc Quincampoix, Aurel Răşcanu
Publication date: 2 March 2004
Published in: Advances in Differential Equations (Search for Journal in Brave)
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backward stochastic differential equationsviabilitysemilinear parabolic partial differential equationsviscosity subsolutionviscosity supersolutionclosed and time depending constraintforward stochastic differential equations
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)
Cited In (14)
- Viability for stochastic differential equations driven by \(G\)-Brownian motion
- Viability for differential equations driven by fractional Brownian motion
- On the comparison theorem for multi-dimensional \(G\)-SDEs
- Invariance for rough differential equations
- Stochastic control and compatible subsets of constraints
- Viability of moving sets for a nonlinear Neumann problem
- Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion
- Viability for impulsive stochastic differential inclusions driven by fractional Brownian motion
- Viability of an open set for stochastic control systems
- Representation theorem and viability property for multidimensional BSDEs and their applications
- Invariance for stochastic differential systems with time-dependent constraining sets
- Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
- Stochastic viability for compact sets in terms of the distance function
- Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application
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