Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Exact and possible viability for controlled diffusions

Auteur(s):

Code(s) de Classification MSC:

Résumé: We prove that, given a closed set $K$ and a controlled diffusion $X_u$, if, for all $x\in K$, there exists a control $u$ such that the probability for $X_u$ to stay some time in $K$ is strictly positive, then $K$ is viable for $X_u$.

Mots Clés: Viability ; diffusion process ; stochastic control

Date: 2001-10-03

Prépublication numéro: PMA-690