Lyapunov stabilizability of controlled diffusions via a superoptimality principle for viscosity solutions

DOI10.1007/S00245-005-0834-1zbMATH Open1145.93051arXivmath/0405169OpenAlexW2127585582MaRDI QIDQ2492876FDOQ2492876

Authors: Annalisa Cesaroni 

Publication date: 15 June 2006

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: We prove optimality principles for semicontinuous bounded viscosity solutions of Hamilton-Jacobi-Bellman equations. In particular we provide a representation formula for viscosity supersolutions as value functions of suitable obstacle control problems. This result is applied to extend the Lyapunov direct method for stability to controlled Ito stochastic differential equations. We define the appropriate concept of Lyapunov function to study the stochastic open loop stabilizability in probability and the local and global asymptotic stabilizability (or asymptotic controllability). Finally we illustrate the theory with some examples.

Full work available at URL: https://arxiv.org/abs/math/0405169

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zbMATH Keywords

stability in probabilityHamilton-Jacobi-Bellman inequalitycontrolled degenerate diffusionsuperoptimality principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Cited In (7)

• A representation theorem for the viscosity solutions of a degenerate ergodic Hamilton-Jacobi-Bellman equation on the torus
• STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD
• Title not available (Why is that?)
• Almost Sure Stabilizability of Controlled Degenerate Diffusions
• Zubov's method for controlled diffusions with state constraints
• A converse Lyapunov theorem for almost sure stabilizability
• Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control

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