Invariant sets for controlled degenerate diffusions: A viscosity solutions approach. (English) Zbl 0928.93067
McEneaney, William M. (ed.) et al., Stochastic analysis, control, optimization and applications. A volume in honor of Wendell H. Fleming, on the occasion of his 70th birthday. Boston: Birkhäuser. 191-208 (1999).
Invariant sets for controlled diffusion processes and viable sets for a class of deterministic systems with disturbances are characterized. The approach is based on the analysis of the corresponding value functions, as viscosity subsolutions to boundary value problems for Hamilton-Jacobi-Bellman (Isaacs) equations.
For the entire collection see [Zbl 0905.00042].
For the entire collection see [Zbl 0905.00042].
Reviewer: H.Pragarauskas (Vilnius)
MSC:
| 93E20 | Optimal stochastic control |
| 49L20 | Dynamic programming in optimal control and differential games |
| 49L25 | Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games |
| 49J52 | Nonsmooth analysis |
