Invariance of stochastic control systems with deterministic arguments

DOI10.1016/j.jde.2004.01.007zbMath1066.93049MaRDI QIDQ1880747

Giuseppe 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 constraints; stochastic invariance; viability; stochastic control systems; deterministic control system with two controls; regularity of a diffusion; stochastic control system with time independent controls; Stratonovich drift

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E03: Stochastic systems in control theory (general)

Cites Work

• Convex analysis and measurable multifunctions
• Viability for constrained stochastic differential equations
• Stochastic invariance for differential inclusions
• A geometric characterization of viable sets for controlled degenerate diffusions
• Invariance for stochastic equations with regular coefficients
• Existence of stochastic control under state constraints
• Stochastic nagumo's viability theorem
• The viability theorem for stochastic differential inclusions²
• Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
• Viability theory
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