Abstract
We study an invariance property for a controlled stochastic differential equation and give a few of its characterizations in connection with the corresponding Hamilton-Jacobi-Bellman equation.
| Original language | English |
|---|---|
| Pages (from-to) | 651-664 |
| Number of pages | 14 |
| Journal | Discrete and Continuous Dynamical Systems |
| Volume | 6 |
| Issue number | 3 |
| Publication status | Published - 2000 Jul |
| Externally published | Yes |
Keywords
- Invariance property
- Second-order Hamilton-Jacobi-Bellman equation
- Stochastic differential equations
- Viscosity solutions
ASJC Scopus subject areas
- Mathematics(all)
- Analysis
- Applied Mathematics
- Discrete Mathematics and Combinatorics