Exact and possible viability for controlled diffusions

Laurent Mazliak and Catherine Rainer

Statistics & Probability Letters, 2003, vol. 62, issue 2, 155-161

Abstract: 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.

Keywords: Viability; Diffusion; process; Stochastic; control (search for similar items in EconPapers)
Date: 2003
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