Stochastic viability of convex sets

被引：20

作者：

Da Prato, Giuseppe

Frankowska, Helene

机构：

[1] Ecole Polytech, CNRS, CREA, F-75005 Paris, France

[2] Scuola Normale Super Pisa, I-56126 Pisa, Italy

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2007年 / 333卷 / 01期

关键词：

stochastic differential equation; weak solution; viability; oriented distance;

D O I：

10.1016/j.jmaa.2006.08.057

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate necessary and sufficient conditions for viability of a closed convex set K under weak solutions of a stochastic differential equation. These conditions are expressed in terms of the distance function to K. When in addition the boundary of K is smooth, then our necessary and sufficient conditions reduce to two relations that have to be verified just on the boundary of K. (c) 2006 Elsevier Inc. All rights reserved.

引用

页码：151 / 163

页数：13

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