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arXiv · 0707.2353

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
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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.

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Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Josef Teichmann. 2007-11-08. Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems. https://arxiv.org/abs/0707.2353

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