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

DOI10.1007/s00245-005-0834-1zbMath1145.93051arXivmath/0405169OpenAlexW2127585582MaRDI QIDQ2492876

Annalisa Cesaroni

Publication date: 15 June 2006

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

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

zbMATH Keywords

stability in probabilityHamilton-Jacobi-Bellman inequalitycontrolled degenerate diffusionsuperoptimality principle

Mathematics Subject Classification ID

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

Related Items (5)

A converse Lyapunov theorem for almost sure stabilizability ⋮ Zubov's method for controlled diffusions with state constraints ⋮ Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control ⋮ 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

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