Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems

DOI10.1016/j.bulsci.2007.11.003zbMath1186.93067arXiv0707.2353OpenAlexW2122670869MaRDI QIDQ2270135

Marc Quincampoix, Josef Teichmann, Rainer Buckdahn, Catherine Rainer

Publication date: 12 March 2010

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.2353

zbMATH Keywords

stochastic Taylor expansiondeterministic control systemstochastic control systemStratonovich driftinvariance of closed sets

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Related Items

Invariance for rough differential equations, Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients, Stochastic invariance of closed sets with non-Lipschitz coefficients, Viability of an open set for stochastic control systems, Existence of asymptotic values for nonexpansive stochastic control systems

Cites Work

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• A geometric characterization of viable sets for controlled degenerate diffusions
• Invariance of stochastic control systems with deterministic arguments
• Stochastic control and compatible subsets of constraints
• A Representation Formula for the Mean Curvature Motion
• Cubature on Wiener space
• Existence of stochastic control under state constraints
• The viability theorem for stochastic differential inclusions²
• Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
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