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arXiv:0707.2353 [math.OC]AbstractReferencesReviewsResources

Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Josef Teichmann

Published 2007-07-16, updated 2007-11-08Version 2

We provide a short and elementary proof for the recently proved result by G. da Prato and H. Frankowska that -- under minimal assumptions -- a closed set is invariant with respect to a stochastic control system if and only if it is invariant with respect to the (associated) deterministic control system.

Comments: revised version for publication in Bulletin des Sciences Mathematiques
Categories: math.OC, math.PR
Subjects: 93E03, 60H10
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