Viability property of jump diffusion processes on manifolds

DOI10.1007/S10255-016-0559-8zbMATH Open1336.60163OpenAlexW2343409557MaRDI QIDQ287870FDOQ287870

Authors: Xue-hong Zhu, Guang-zu Liu 

Publication date: 23 May 2016

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0559-8

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zbMATH Keywords

manifoldviscosity solutionviability property

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Stochastic analysis on manifolds
• Existence of stochastic control under state constraints
• Viability property on Riemannian manifolds
• Exact and possible viability for controlled diffusions.
• A note on weak viability for controllled diffusion.
• The viability property of controlled jump diffusion processes
• On risk reserve under distribution constraints
• Title not available (Why is that?)
• Numerical Solution of the Riemann Problem for Two-Dimensional Gas Dynamics

Cited In (3)

• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• Viability property on Riemannian manifolds
• The viability property of controlled jump diffusion processes

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