The viability property of controlled jump diffusion processes
DOI10.1007/S10114-008-4528-XzbMATH Open1156.60317OpenAlexW1984631587MaRDI QIDQ2519342FDOQ2519342
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
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
- Viscosity Solutions of Hamilton-Jacobi Equations
- Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
- User’s guide to viscosity solutions of second order partial differential equations
- Existence of stochastic control under state constraints
- Title not available (Why is that?)
- On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
- 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
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- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Viability for constrained stochastic differential 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
- Border avoidance: necessary regularity for coefficients and viscosity approach
- Viability property of jump diffusion processes on manifolds
- 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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