Non-compact-valued stochastic control under state constraints

DOI10.1016/J.BULSCI.2006.08.001MaRDI QIDQ2465751zbMATH OpenOpenAlexFDO

Authors Dan Goreac

Publication date 8 January 2008

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

Full work available at URL https://doi.org/10.1016/j.bulsci.2006.08.001

zbMATH Keywords

stochastic controlviscosity solutionstochastic viability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Fuzzy logic; logic of vagueness (03B52) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 8367 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 2061140 (Why is no real title available?)
• A representation formula for the mean curvature motion
• Exact and possible viability for controlled diffusions.
• Existence of stochastic control under state constraints
• Invariance of stochastic control systems with deterministic arguments
• Stochastic control and compatible subsets of constraints
• Stochastic control with exit time and constraints, application to small time attainability of sets
• User’s guide to viscosity solutions of second order partial differential equations
• Viability for constrained stochastic differential equations
• Viability property for a backward stochastic differential equation and applications to partial differential equations

Cited in

(4)

• Stochastic viability and dynamic programming
• Decoupling non-sequential stochastic control problems
• Nonconvexities in Stochastic Control Models
• State-constrained porous media control systems with application to stabilization

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