Chapter1999

Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach

40 citations0/0 files storedBirkhäuser Boston eBooks

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Optimization and Variational Analysis

Abstract

We study invariance and viability properties of a closed set for the trajectories of either a controlled diffusion process or a controlled deterministic system with disturbances. We use the value functions associated to suitable optimal control problems or differential games and analyze the related Dynamic Programming equation within the theory of viscosity solutions.

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2008Stochastic differential equations and applications 1983Stochastic Differential Equations and Diffusion Processes 1976Stochastic Differential Equations and Applications 1972The existence of value in differential games 1975Stochastic Differential Equations and Applications 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application 1983Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I 1997Dynamic Economic Theory

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