journal article
oaidoi:10.1016/j.jmaa.2006.08.057

Stochastic viability of convex sets

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Publication date
1 September 2007
Publisher
Elsevier Inc.
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    Abstract

    AbstractWe investigate necessary and sufficient conditions for viability of a closed convex set K under weak solutions of a stochastic differential equation. These conditions are expressed in terms of the distance function to K. When in addition the boundary of K is smooth, then our necessary and sufficient conditions reduce to two relations that have to be verified just on the boundary of K

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