A PDE approach to stochastic invariance

Hitoshi Ishii, Paola Loreti, Maria Elisabetta Tessitore

研究成果: Article

2 引用 (Scopus)

抄録

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.

元の言語English
ページ(範囲)651-664
ページ数14
ジャーナルDiscrete and Continuous Dynamical Systems
6
発行部数3
出版物ステータスPublished - 2000 7
外部発表Yes

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

ASJC Scopus subject areas

  • Mathematics(all)
  • Analysis
  • Applied Mathematics
  • Discrete Mathematics and Combinatorics

これを引用

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.

:: Discrete and Continuous Dynamical Systems, 巻 6, 番号 3, 07.2000, p. 651-664.

研究成果: Article

Ishii, H, Loreti, P & Tessitore, ME 2000, 'A PDE approach to stochastic invariance', Discrete and Continuous Dynamical Systems, 巻. 6, 番号 3, pp. 651-664.
Ishii H, Loreti P, Tessitore ME. A PDE approach to stochastic invariance. Discrete and Continuous Dynamical Systems. 2000 7;6(3):651-664.
Ishii, Hitoshi ; Loreti, Paola ; Tessitore, Maria Elisabetta. / A PDE approach to stochastic invariance. :: Discrete and Continuous Dynamical Systems. 2000 ; 巻 6, 番号 3. pp. 651-664.
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