Non-compact-valued stochastic control under state constraints

DOI10.1016/J.BULSCI.2006.08.001zbMATH Open1136.60046OpenAlexW2019587626MaRDI QIDQ2465751FDOQ2465751

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)

Cites Work

• User’s guide to viscosity solutions of second order partial differential equations
• Title not available (Why is that?)
• Existence of stochastic control under state constraints
• Title not available (Why is that?)
• Exact and possible viability for controlled diffusions.
• Title not available (Why is that?)
• Invariance of stochastic control systems with deterministic arguments
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• Title not available (Why is that?)
• A representation formula for the mean curvature motion
• Stochastic control with exit time and constraints, application to small time attainability of sets
• Viability for constrained stochastic differential equations
• Stochastic control and compatible subsets of constraints

Cited In (3)

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

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