Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature

DOI10.1081/SAP-120024699zbMath1030.60045OpenAlexW1965739949MaRDI QIDQ4421477

Halim Doss, Jean-Pierre Aubin

Publication date: 27 August 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120024699

zbMATH Keywords

Hamilton-Jacobi equationstochastic viabilitystochastic ordinary differential equationsderivatives of set-valued mapsBlack-Scholes partial differential equations in mathematical financecontingent curvaturecontingent epi-Hessian

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Related Items

Invariance of stochastic control systems with deterministic arguments ⋮ Systems with distributions and viability theorem ⋮ Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application ⋮ Dynamic decentralization of harvesting constraints in the management of tychastic evolution of renewable resources ⋮ Viability for coupled SDEs driven by fractional Brownian motion ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems ⋮ Invariance of closed convex sets for stochastic functional differential equations ⋮ Almost sure properties of controlled diffusions and worst case properties of deterministic systems ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations

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