Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets

Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets We study the existence of a solution of controlled stochastic differential equations remaining in a given set of constraints at any time smaller than the exit time of a given open set. We also investigate the small time attainability of a given closed set K , i.e., the property that, for all arbitrary small time horizon T and for all initial condition in a sufficiently small neighborhood of K , there exists a solution to the controlled stochastic differential equation which reaches K before T . http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets

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Publisher
Springer-Verlag
Copyright
Copyright © 2004 by Springer-Verlag
Subject
Philosophy
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-003-0789-z
Publisher site
See Article on Publisher Site

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