Zubov's method for stochastic control systems

F. Camilli, L. Grüne, F. Wirth: Zubov's method for stochastic control systems
in: Proceedings of the 16th IFAC World Congress, DVD-ROM, Paper No. Mo-M20-TO/4, Prague, Czech Republic, 2005,

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Abstract:

We consider a controlled stochastic system with an almost surely locally exponentially controllable compact set. Our aim is to characterize the set of points which can be driven by a suitable control to this set with some prescribed probability. We show that a generalization of Zubov's method leads to this characterization and can be used as basis for numerical computations.

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