The viability theorem for stochastic differential inclusions2

DOI10.1080/07362999808809512zbMATH Open0931.60059OpenAlexW2066817833MaRDI QIDQ4385646FDOQ4385646

Authors: Jean-Pierre Aubin, Guiseppe Da Prato 

Publication date: 20 February 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999808809512

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zbMATH Keywords

stochastic control problemsstochastic uncertaintycontingent uncertainty

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic analysis (60H99)

Cites Work

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• Set-valued analysis
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• A stochastic filippov theorem
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• Stochastic nagumo's viability theorem

Cited In (54)

• Properties of set-valued Young integrals and Young differential inclusions generated by sets of Hölder functions
• Viability of the solution with a perturbation and feedback control
• Some applications of Girsanov's theorem to the theory of stochastic differential inclusions
• Viability for stochastic differential equations driven by \(G\)-Brownian motion
• Properties of solutions to stochastic set differential equations under non-Lipschitzian coefficients
• The interrelation between stochastic differential inclusions and set-valued stochastic differential equations
• Dynamic decentralization of harvesting constraints in the management of tychastic evolution of renewable resources
• On the solutions of set-valued stochastic differential equations in M-type 2 Banach spaces
• Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
• Stochastic set differential equations
• On a new set-valued stochastic integral with respect to semimartingales and its applications
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• Viability for differential equations driven by fractional Brownian motion
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Viability for stochastic functional differential equations in Hilbert spaces driven by fractional Brownian motion
• On set-valued stochastic integrals and fuzzy stochastic equations
• Invariance for rough differential equations
• Global Carleman estimates for degenerate parabolic operators with applications
• Viability for coupled SDEs driven by fractional Brownian motion
• Existence of \(\beta\)-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients
• Stochastic inclusions and set-valued stochastic equations driven by a two-parameter Wiener process
• The stochastic reach-avoid problem and set characterization for diffusions
• Young and rough differential inclusions
• Fuzzy set-valued stochastic Lebesgue integral
• Stochastic control and compatible subsets of constraints
• On connections between stochastic differential inclusions and set-valued stochastic differential equations driven by semimartingales
• Existence of solutions of stochastic differential inclusions with standard and fractional Brownian motions
• Stochastic viability and dynamic programming
• Representation theorems, set-valued and fuzzy set-valued Itô integral
• Stochastic integral with respect to set-valued square integrable martingales
• Almost sure properties of controlled diffusions and worst case properties of deterministic systems
• Dynamic programming and error estimates for stochastic control problems with maximum cost
• Non-random Invariant Sets for Some Systems of Parabolic Stochastic Partial Differential Equations
• High Order Stochastic Inclusions and Their Applications
• Stochastic differential inclusions and diffusion processes
• A note on weak viability for controllled diffusion.
• Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• Stochastic invariance for differential inclusions
• A converse Lyapunov theorem for almost sure stabilizability
• Title not available (Why is that?)
• Set-valued and fuzzy stochastic differential equations in M-type 2 Banach spaces
• Viability of an open set for stochastic control systems
• Invariance of stochastic control systems with deterministic arguments
• Second Order Stochastic Inclusion
• Set-valued and fuzzy stochastic integral equations driven by semimartingales under Osgood condition
• Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
• Remarks on unboundedness of set-valued Itô stochastic integrals
• Satisficing versus optimality: criteria for sustainability
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• Existence theorem for a stochastic wave equation with discontinuous unbounded coefficients
• The Upper and Lower Solutions Method for Stochastic Inclusions with Discontinuous Multivalued Mappings
• Attainability problems under stochastic perturbations

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