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Zubov's method for stochastic control systems

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005511
URN to cite this document: urn:nbn:de:bvb:703-epub-5511-6

Title data

Camilli, Fabio ; Grüne, Lars ; Wirth, Fabian:
Zubov's method for stochastic control systems.
Bayreuth , 2005

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Abstract

We consider a controlled stochastic system with an almost surely locally exponentially controllable compact set. Our aim is to characterize the set of points which can be driven by a suitable control to this set with some prescribed probability. We show that a generalization of Zubov's method leads to this characterization and can be used as basis for numerical computations.

Further data

Item Type: Preprint, postprint
Additional notes (visible to public): Erscheint in: IFAC Proceedings Volumes. Bd. 38 (2005) Heft 1 . - S. 259-264;
https://doi.org/10.3182/20050703-6-CZ-1902.00443
Keywords: Zubov's method; Stochastic control system; Controllability probability; Viscosity solution; Computational approach
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5511-6
Date Deposited: 14 May 2021 09:47
Last Modified: 18 Jun 2021 08:02
URI: https://epub.uni-bayreuth.de/id/eprint/5511
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