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Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
Authors:Rainer Buckdahn  Catherine Rainer  Josef Teichmann
Institution: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.
Keywords:93E03  60H10
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