Exact and possible viability for controlled diffusions

We prove that, given a closed set K and a controlled diffusion Xx,u, if, for all x[set membership, variant]K, there exists a control u such that the probability for Xx,u to stay some time in K is strictly positive, then K is viable for Xx,u.

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Year of publication:	2003
Authors:	Mazliak, Laurent ; Rainer, Catherine
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 62.2003, 2, p. 155-161
Publisher:	Elsevier
Subject:	Viability Diffusion process Stochastic control

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138094