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
收藏
页码：1351 / 1368
页数：18
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