The viability property of controlled jump diffusion processes

DOI10.1007/S10114-008-4528-XMaRDI QIDQ2519342zbMATH OpenOpenAlexFDO

Authors Shige Peng, Xue-hong Zhu

Publication date 26 January 2009

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-008-4528-x

zbMATH Keywords

viscosity solutionviabilityintegrodifferential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites work

• scientific article; zbMATH DE number 8367 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Existence of stochastic control under state constraints
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• Viability for constrained stochastic differential equations
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(13)

• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Viability property of jump diffusion processes on manifolds
• Border avoidance: necessary regularity for coefficients and viscosity approach
• Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Exact and possible viability for controlled diffusions.
• A note on weak viability for controllled diffusion.
• Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations
• Periodic solutions of stochastic functional differential equations with jumps via viability
• Viscosity solutions for controlled McKean-Vlasov jump-diffusions
• Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
• Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application

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