a Université de Bretagne Occidentale, Laboratoire de Mathématiques, Unité CNRS UMR 6205, Brest, France b University of Technology Vienna, Institute of Mathematical Methods in Economics, Vienna, Austria
Abstract:
We provide a short and elementary proof for the recently proved result by G. da Prato and H. Frankowska that - under minimal assumptions - a closed set is invariant with respect to a stochastic control system if and only if it is invariant with respect to the (associated) deterministic control system.