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

Journal Article · Mon Mar 15 00:00:00 EST 2004 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-003-0789-Z· OSTI ID:21067457

Buckdahn, Rainer; Quincampoix, Marc; Rainer, Catherine ^[1]; Rascanu, Aurel ^[2]

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1. Laboratoire de Mathematiques, Unite CNRS FRE 2218, Universite de Bretagne Occidentale, 6 Avenue Victor Le Gorgeu, B.P. 809, 29285-Brest cedex (France)
2. Facultatea de matematica, Universitatea 'Alexandru Ioan Cuza', 6600 - Iasi (Romania)

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.

• OSTI ID: 21067457
• Journal Information: Applied Mathematics and Optimization, Vol. 49, Issue 2; Other Information: DOI: 10.1007/s00245-003-0789-z; Copyright (c) 2004 Springer-Verlag; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
CONTROL THEORY
EQUATIONS
MATHEMATICAL SOLUTIONS
STOCHASTIC PROCESSES