Stochastic control with exit time and constraints, application to small time attainability of sets
type: Item
instance of: scholarly article
title: Stochastic control with exit time and constraints, application to small time attainability of sets
zbMATH Open document ID: 1059.93133
author: Marc Quincampoix
author: Aurel Răşcanu
author: Rainer Buckdahn
author: Catherine Rainer
published in: Applied Mathematics and Optimization
publication date: 2004-09-22T00:00:00Z
review text: The problem of stochastic viability before the exit time of a given open set is reduced to studying the properties of a suitably defined value function. In particular, this value function is characterized as the smallest nonnegative semicontinuous viscosity supersolution of a given Hamilton-Jacobi equation. The obtained results are applied to studying the small-time local attainability of a closed set with respect to the solutions of a controlled stochastic differential equation, and a sufficient condition is proved.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 93B03
zbMATH DE Number: 2101886
zbMATH Keywords: stochastic viability
zbMATH Keywords: small-time local attainability
zbMATH Keywords: exit time
zbMATH Keywords: nonnegative viscosity supersolution
reviewed by: Mikhail Krastanov
MaRDI profile type: Publication
full work available at URL: s00245-003-0789-z
OpenAlex ID: W2098034468
DOI: 10.1007/S00245-003-0789-Z
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description: scientific article; zbMATH DE number 2101886