Viability of moving sets for stochastic differential equation.

zbMath1037.60055MaRDI QIDQ1405967

Catherine Rainer, Marc Quincampoix, Aurel Răşcanu, Rainer Buckdahn

Publication date: 2 March 2004

Published in: Advances in Differential Equations (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationsviscosity subsolutionviscosity supersolutionviabilitysemilinear parabolic partial differential equationsclosed and time depending constraintforward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (11)

Invariance for rough differential equations ⋮ Viability for differential equations driven by fractional Brownian motion ⋮ Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion ⋮ Viability of moving sets for a nonlinear Neumann problem ⋮ Representation theorem and viability property for multidimensional BSDEs and their applications ⋮ Viability for stochastic differential equations driven by \(G\)-Brownian motion ⋮ Stochastic control and compatible subsets of constraints ⋮ Viability of an open set for stochastic control systems ⋮ On the comparison theorem for multi-dimensional \(G\)-SDEs ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem ⋮ Invariance for stochastic differential systems with time-dependent constraining sets

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