A Hamilton-Jacobi-Bellman approach for the numerical computation of probabilistic state constrained reachable sets

DOI10.1007/978-3-030-01959-4_1zbMath1412.60114OpenAlexW2911804765MaRDI QIDQ2419386

Athena Picarelli, Mohamed Assellaou

Publication date: 13 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-01959-4_1

zbMATH Keywords

Neumann boundary conditionsviscosity solutionsreachable setdiscontinuous cost functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03) Attainable sets, reachability (93B03) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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