Viability of an open set for stochastic control systems

DOI10.1016/J.SPA.2018.11.012MaRDI QIDQ2274271zbMATH OpenOpenAlexWikidataFDO

Authors Hélène Frankowska, Marc Quincampoix, Rainer Buckdahn

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2018.11.012

zbMATH Keywords

viability propertystochastic control system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued and variational analysis (49J53) Existence of optimal solutions to problems involving randomness (49J55) Stochastic systems in control theory (general) (93E03)

Recommendations

• Stochastic control and compatible subsets of constraints
• Stochastic viability of convex sets
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• Exact and possible viability for controlled diffusions.
• Viability of stochastic semi-linear control systems via the quasi-tangency condition

Cites work

• scientific article; zbMATH DE number 8367 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 1166155 (Why is no real title available?)
• scientific article; zbMATH DE number 5050198 (Why is no real title available?)
• A geometric characterization of viable sets for controlled degenerate diffusions
• A representation formula for the mean curvature motion
• Affine diffusions with non-canonical state space
• Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
• Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion
• Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints
• Existence of stochastic control under state constraints
• Improved sensitivity relations in state constrained optimal control
• Invariance of stochastic control systems with deterministic arguments
• Invariant measures associated to degenerate elliptic operators
• Set-valued analysis
• Shape analysis via oriented distance functions
• Stochastic control and compatible subsets of constraints
• Stochastic invariance for differential inclusions
• Stochastic invariance of closed sets with non-Lipschitz coefficients
• Stochastic viability for compact sets in terms of the distance function
• The viability theorem for stochastic differential inclusions²
• Viability Theory
• Viability for constrained stochastic differential equations
• Viability of moving sets for stochastic differential equation.
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• Viability property on Riemannian manifolds
• Viability theory

Cited in

(12)

• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
• Mean viability theorems and second-order Hamilton-Jacobi equations
• Border avoidance: necessary regularity for coefficients and viscosity approach
• Stochastic control and compatible subsets of constraints
• Open-loop viable control under uncertain initial state information
• The viability property for path-dependent SDE under open constraints
• Exact and possible viability for controlled diffusions.
• A note on weak viability for controllled diffusion.
• Stochastic viability of convex sets
• Viability of stochastic semi-linear control systems via the quasi-tangency condition
• scientific article; zbMATH DE number 5050198 (Why is no real title available?)
• A stochastic approach to the closure of accessible sets of control systems with application on homogeneous spaces

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