Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets
Abstract
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.
- Authors:
-
- Laboratoire de Mathematiques, Unite CNRS FRE 2218, Universite de Bretagne Occidentale, 6 Avenue Victor Le Gorgeu, B.P. 809, 29285-Brest cedex (France)
- Facultatea de matematica, Universitatea 'Alexandru Ioan Cuza', 6600 - Iasi (Romania)
- Publication Date:
- OSTI Identifier:
- 21067457
- Resource Type:
- Journal Article
- Journal Name:
- Applied Mathematics and Optimization
- Additional Journal Information:
- Journal Volume: 49; Journal 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); Journal ID: ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
- Subject:
- 71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; CONTROL THEORY; EQUATIONS; MATHEMATICAL SOLUTIONS; STOCHASTIC PROCESSES
Citation Formats
Buckdahn, Rainer, Quincampoix, Marc, Rainer, Catherine, and Rascanu, Aurel. Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets. United States: N. p., 2004.
Web. doi:10.1007/S00245-003-0789-Z.
Buckdahn, Rainer, Quincampoix, Marc, Rainer, Catherine, & Rascanu, Aurel. Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets. United States. https://doi.org/10.1007/S00245-003-0789-Z
Buckdahn, Rainer, Quincampoix, Marc, Rainer, Catherine, and Rascanu, Aurel. 2004.
"Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets". United States. https://doi.org/10.1007/S00245-003-0789-Z.
@article{osti_21067457,
title = {Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets},
author = {Buckdahn, Rainer and Quincampoix, Marc and Rainer, Catherine and Rascanu, Aurel},
abstractNote = {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.},
doi = {10.1007/S00245-003-0789-Z},
url = {https://www.osti.gov/biblio/21067457},
journal = {Applied Mathematics and Optimization},
issn = {0095-4616},
number = 2,
volume = 49,
place = {United States},
year = {Mon Mar 15 00:00:00 EST 2004},
month = {Mon Mar 15 00:00:00 EST 2004}
}
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