The Viability Property of Controlled Jump Diffusion Processes

被引：0

作者：

Shi Ge PENG Institute of Mathematics

机构：

来源：

Acta Mathematica Sinica(English Series) | 2008年 / 24卷 / 08期

关键词：

viability; integrodifferential equation; viscosity solution;

D O I：

暂无

中图分类号：

O231 [控制论（控制论的数学理论）];

学科分类号：

070105 ; 0711 ; 071101 ; 0811 ; 081101 ;

摘要：

In this paper,we first give a comparison theorem of viscosity solution to some nonlinearsecond order integrodifferential equation.And then using the comparison theorem,we obtain a nec-essary and sufficient condition for the viability property of some controlled jump diffusion processeswhich can keep the solution within a constraint K.

引用

页码：1351 / 1368

页数：18

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