Title data
Grüne, Lars ; Picarelli, Athena:
Zubov's method for controlled diffusions with state constraints.
Department of Mathematics, University of Bayreuth
Bayreuth
,
2015
.  36 S.
PDF
Gruene_et_al_zubov_meth_controlled_diffusions_w_state_constr_2015.pdf  Preprint Available under License Deutsches Urheberrechtsgesetz . Download (465kB) 
Project information
Project title: 



Project financing: 
Andere European Union "FP7PeopleITN" programme 
Abstract
We consider a controlled stochastic system in presence of stateconstraints. Under the assumption of exponential stabilizability of the system near a target set, we aim to characterize the set of points which can be asymptotically driven by an admissible control to the target with positive probability. We show that this set can be characterized as a level set of the optimal value function of a suitable unconstrained optimal control problem which in turn is the unique viscosity solution of a second order PDE which can thus be interpreted as a generalized Zubov equation.