Stochastic control and compatible subsets of constraints |
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Authors: | Marc Quincampoix Catherine Rainer |
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Institution: | Laboratoire de mathématiques, Unité CNRS UMR 6205, université de Bretagne occidentale, 6 Av. Le Gorgeu, 29200 Brest, France |
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Abstract: | Given a stochastic differential control system and a closed set K in Rn, we study the that, with probability one, the associated solution of the control system remains for ever in the set K. This set is called the viability kernel of K. If N is equal to the whole set K, K is said to be viable. We prove that, in the general case, the viability kernel itself is viable and we characterize it through some partial differential equations. We prove that, under suitable assumptions, also the boundary of N is viable. As an application, we give a new characterization of the value function of some optimal control problem. |
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Keywords: | 93E03 64H20 34F05 49L25 93E20 |
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