Exact and possible viability for controlled diffusions.

DOI10.1016/S0167-7152(03)00006-3zbMath1116.60346MaRDI QIDQ1423258

Laurent Mazliak, Catherine Rainer

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Stochastic controlDiffusion processViability

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03)

Related Items (3)

Viability property of jump diffusion processes on manifolds ⋮ Non-compact-valued stochastic control under state constraints ⋮ Stochastic control and compatible subsets of constraints

Cites Work

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• Viability property for a backward stochastic differential equation and applications to partial differential equations
• A note on weak viability for controllled diffusion.
• On risk reserve under distribution constraints
• Existence of stochastic control under state constraints
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Viability theory

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