Geodesic
Terminal invariance of jump diffusions
Doklady Rossijskoj akademii nauk. Matematika, informatika, processy upravleniâ, Tome 493 (2020), pp. 108-111 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

Terminal invariance sufficient conditions for nonlinear dynamical stochastic controllable systems of diffusion-jump type are proposed. These conditions have no analogues in the world literature. Both perturbation invariance conditions (for a fixed initial point) and absolute invariance conditions (ensuring that the terminal criterion takes a constant value for any initial data) are formulated.
Keywords: terminal invariance, nonlinear stochastic systems, impulsive systems.
Mots-clés : invariance sufficient conditions, jump diffusion 
@article{DANMA_2020_493_a21,
     author = {M. M. Khrustalev and K. A. Tsarkov},
     title = {Terminal invariance of jump diffusions},
     journal = {Doklady Rossijskoj akademii nauk. Matematika, informatika, processy upravleni\^a},
     pages = {108--111},
     year = {2020},
     volume = {493},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DANMA_2020_493_a21/}
}
TY  - JOUR
AU  - M. M. Khrustalev
AU  - K. A. Tsarkov
TI  - Terminal invariance of jump diffusions
JO  - Doklady Rossijskoj akademii nauk. Matematika, informatika, processy upravleniâ
PY  - 2020
SP  - 108
EP  - 111
VL  - 493
UR  - http://geodesic.mathdoc.fr/item/DANMA_2020_493_a21/
LA  - ru
ID  - DANMA_2020_493_a21
ER  - 
%0 Journal Article
%A M. M. Khrustalev
%A K. A. Tsarkov
%T Terminal invariance of jump diffusions
%J Doklady Rossijskoj akademii nauk. Matematika, informatika, processy upravleniâ
%D 2020
%P 108-111
%V 493
%U http://geodesic.mathdoc.fr/item/DANMA_2020_493_a21/
%G ru
%F DANMA_2020_493_a21
M. M. Khrustalev; K. A. Tsarkov. Terminal invariance of jump diffusions. Doklady Rossijskoj akademii nauk. Matematika, informatika, processy upravleniâ, Tome 493 (2020), pp. 108-111. http://geodesic.mathdoc.fr/item/DANMA_2020_493_a21/

[1] Khrustalev M.M., “Invariantnost stokhasticheskikh sistem diffuzionnogo tipa”, DAN, 476:2 (2017), 148–150 | Zbl

[2] Khrustalev M.M., “Terminalnaya invariantnost stokhasticheskikh sistem diffuzionnogo tipa”, AiT, 2018, no. 8, 81–100 | DOI | Zbl

[3] Korolyuk V.S., Portenko N.I., Skorokhod A.V., Turbin A.F., Spravochnik po teorii veroyatnostei i matematicheskoi statistike, Nauka, M., 1985, 640 pp. | MR

[4] Øksendal B., Sulem A., Applied Stochastic Control of Jump Diffusions, Springer, B.–Heidelberg, 2005, 266 pp. | MR

[5] Rybakov K.A., “Dostatochnye usloviya optimalnosti v zadache upravleniya sistemami diffuzionno-skachkoobraznogo tipa”, Tr. Vseros. sov. po probl. upravleniya, VSPU-2014 (Moskva), IPU RAN, M., 2014, 734–744

[6] Averina T.A., Rybakov K.A., “Dva metoda analiza stokhasticheskikh sistem s puassonovskoi sostavlyayuschei”, Differents. uravneniya i protsessy upravleniya, 2013, no. 3, 85–116 | MR | Zbl