A PDE approach to stochastic invariance
DOI10.3934/dcds.2000.6.651zbMath1013.60043OpenAlexW2011268550MaRDI QIDQ1576919
Paola Loreti, Maria Elisabetta Tessitore, Hitoshi Ishii
Publication date: 16 August 2000
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcds.2000.6.651
stochastic differential equationsviscosity solutionsinvariance propertysecond-order Hamilton-Jacobi-Bellman equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Degenerate elliptic equations (35J70) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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