Zubov’s method for controlled diffusions with state constraints

Lars Grüne and Athena Picarelli
2015
Publication type:
Paper in peer-reviewed journals
Journal:
Nonlinear Differential Equations and Applications, vol. 22 (6), pp. 1765–1799
Publisher:
Springer Verlag
Keywords :
Controllability for diffusion systems; Hamilton-Jacobi-Bellman equations; viscosity solutions; stochastic optimal control;
Abstract:
We consider a controlled stochastic system in presence of state-constraints. 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.
BibTeX:
@article{Gru-Pic-2015,
    author={Lars Grüne and Athena Picarelli },
    title={Zubov’s method for controlled diffusions with state 
           constraints },
    doi={10.1007/s00030-015-0343-0 },
    journal={Nonlinear Differential Equations and Applications },
    year={2015 },
    volume={22 (6) },
    pages={1765–1799},
}