Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
Optimization and Control
2007-11-08 v2 Probability
Abstract
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.
Keywords
Cite
@article{arxiv.0707.2353,
title = {Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems},
author = {Rainer Buckdahn and Marc Quincampoix and Catherine Rainer and Josef Teichmann},
journal= {arXiv preprint arXiv:0707.2353},
year = {2007}
}
Comments
revised version for publication in Bulletin des Sciences Mathematiques