Viability of an open set for stochastic control systems

DOI10.1016/J.SPA.2018.11.012zbMATH Open1479.49033OpenAlexW2902987920WikidataQ128839485 ScholiaQ128839485MaRDI QIDQ2274271FDOQ2274271

Hélène Frankowska, Rainer Buckdahn, Marc Quincampoix

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2018.11.012

Recommendations

• Stochastic control and compatible subsets of constraints
• Stochastic viability of convex sets
• Existence of stochastic control under state constraints
• Exact and possible viability for controlled diffusions.
• Viability of stochastic semi-linear control systems via the quasi-tangency condition

zbMATH Keywords

viability propertystochastic control system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued and variational analysis (49J53) Existence of optimal solutions to problems involving randomness (49J55) Stochastic systems in control theory (general) (93E03)

Cites Work

• Existence of stochastic control under state constraints
• Set-valued analysis
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• Compactification methods in the control of degenerate diffusions: existence of an optimal control
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• Stochastic invariance for differential inclusions
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• Shape analysis via oriented distance functions
• A representation formula for the mean curvature motion
• Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints
• Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
• Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
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• Stochastic invariance of closed sets with non-Lipschitz coefficients
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• Invariant measures associated to degenerate elliptic operators

Cited In (9)

• Stochastic control and compatible subsets of constraints
• Open-loop viable control under uncertain initial state information
• Exact and possible viability for controlled diffusions.
• A note on weak viability for controllled diffusion.
• Title not available (Why is that?)
• Border Avoidance: Necessary Regularity for Coefficients and Viscosity Approach
• A stochastic approach to the closure of accessible sets of control systems with application on homogeneous spaces
• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
• Mean viability theorems and second-order Hamilton-Jacobi equations

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