The viability property of controlled jump diffusion processes

DOI10.1007/s10114-008-4528-xzbMath1156.60317OpenAlexW1984631587MaRDI QIDQ2519342

Shige Peng, Xue-hong Zhu

Publication date: 26 January 2009

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-008-4528-x

zbMATH Keywords

viscosity solutionintegrodifferential equationviability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Viability property of jump diffusion processes on manifolds, Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks, Periodic solutions of stochastic functional differential equations with jumps via viability, A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach, Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations, Border Avoidance: Necessary Regularity for Coefficients and Viscosity Approach, On the comparison theorem for multi-dimensional \(G\)-SDEs, Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models, Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

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