The viability theorem for stochastic differential inclusions

被引：86
作者：
Aubin, JP
机构：
[1] Univ Paris 09, CEREMADE, F-75775 Paris, France
[2] Scuola Normale Super Pisa, I-56100 Pisa, Italy
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 1998年 / 16卷 / 01期
关键词：
D O I：
10.1080/07362999808809512
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The aim of this paper is to combine two ways for representing uncertainty through stochastic differential inclusions: a "stochastic uncertainty", driven by a Wiener process, and a "contingent uncertainty", driven by a set-valued map, as well as to consider stochastic control problems with continuous dynamic and state dependent controls. This paper is also devoted to viability of a closed subset under stochastic differential inclusions, characterized in terms of stochastic tangent sets to closed subsets.
引用
收藏
页码：1 / 15
页数：15
相关论文
共 14 条
  • [1] [Anonymous], 1992, STOCHASTIC EVOLUTION
  • [2] Aubin J. P., 1990, Ann. Scuola Norm. Sup. Pisa Cl. Sci., V17, P595
  • [3] Aubin J.-P., 1984, DIFFERENTIAL INCLUSI
  • [4] Aubin Jean-Pierre, 2009, Set-valued analysis
  • [5] STOCHASTIC NAGUMOS VIABILITY THEOREM
    AUBIN, JP
    DAPRATO, G
    [J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 1995, 13 (01) : 1 - 11
  • [6] AUBIN JP, 1995, NODEA-NONLINEAR DIFF, V2, P511
  • [7] AUBIN JP, 1991, VIABILITY TEORY
  • [8] AUBIN JP, 1996, HDB FUZZY SYSTEMS
  • [9] BENSOUSSAN A, 1982, STOCHASTIC CNTROL FU
  • [10] Bensoussan A., 1978, Applications des Inequations Varitionelles en Controle Stochastique
12