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.
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页码：1 / 15
页数：15
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