A PDE approach to stochastic invariance

Hitoshi Ishii, Paola Loreti, Maria Elisabetta Tessitore

Research output: Contribution to journalArticle

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

Fingerprint

Hamilton-Jacobi-Bellman Equation
Invariance
Stochastic Equations
Differential equations
Differential equation

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

Cite this

Ishii, H., Loreti, P., & Tessitore, M. E. (2000). A PDE approach to stochastic invariance. Discrete and Continuous Dynamical Systems, 6(3), 651-664.

A PDE approach to stochastic invariance. / Ishii, Hitoshi; Loreti, Paola; Tessitore, Maria Elisabetta.

In: Discrete and Continuous Dynamical Systems, Vol. 6, No. 3, 07.2000, p. 651-664.

Research output: Contribution to journalArticle

Ishii, H, Loreti, P & Tessitore, ME 2000, 'A PDE approach to stochastic invariance', Discrete and Continuous Dynamical Systems, vol. 6, no. 3, pp. 651-664.
Ishii H, Loreti P, Tessitore ME. A PDE approach to stochastic invariance. Discrete and Continuous Dynamical Systems. 2000 Jul;6(3):651-664.
Ishii, Hitoshi ; Loreti, Paola ; Tessitore, Maria Elisabetta. / A PDE approach to stochastic invariance. In: Discrete and Continuous Dynamical Systems. 2000 ; Vol. 6, No. 3. pp. 651-664.
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