Non-compact-valued stochastic control under state constraints

DOI10.1016/j.bulsci.2006.08.001zbMath1136.60046OpenAlexW2019587626MaRDI QIDQ2465751

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

viscosity solutionstochastic controlstochastic viability

Mathematics Subject Classification ID

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

Related Items (1)

State-constrained porous media control systems with application to stabilization

Cites Work

• Viability for constrained stochastic differential equations
• Exact and possible viability for controlled diffusions.
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• Stochastic control with exit time and constraints, application to small time attainability of sets
• Invariance of stochastic control systems with deterministic arguments
• Stochastic control and compatible subsets of constraints
• A Representation Formula for the Mean Curvature Motion
• User’s guide to viscosity solutions of second order partial differential equations
• Existence of stochastic control under state constraints
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