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Invariance of stochastic control systems with deterministic arguments |
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| Authors: | Giuseppe Da Prato Hélène Frankowska |
| Institution: | a Scuola Normale Superiore di Pisa, Piazza dei Cavalieri 7, 56126 Pisa, Italy b CNRS, CREA, Ecole Polytechnique, 1 rue Descartes, 75005 Paris, France |
| Abstract: | We prove that a closed set K of a finite-dimensional space is invariant under the stochastic control system dX=b(X,v(t))dt+σ(X,v(t))dW(t),v(t)∈U, |
| Keywords: | 60H10 93E03 |
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