A PDE approach to stochastic invariance

Hitoshi Ishii, Paola Loreti, Maria Elisabetta Tessitore

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

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 languageEnglish
Pages (from-to)651-664
Number of pages14
JournalDiscrete and Continuous Dynamical Systems
Volume6
Issue number3
Publication statusPublished - 2000 Jul
Externally publishedYes

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

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