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Terminal Invariance of Jump Diffusions

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Abstract—

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.

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Funding

This study was supported in part by the Russian Foundation for Basic Research, project no. 20-08-00400.

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Authors and Affiliations

  1. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, 117997, Moscow, Russia

    M. M. Khrustalev & K. A. Tsarkov

Authors
  1. M. M. Khrustalev
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  2. K. A. Tsarkov
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Correspondence to M. M. Khrustalev or K. A. Tsarkov.

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Translated by N. Berestova

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Khrustalev, M.M., Tsarkov, K.A. Terminal Invariance of Jump Diffusions. Dokl. Math. 102, 353–355 (2020). https://doi.org/10.1134/S1064562420040092

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  • DOI: https://doi.org/10.1134/S1064562420040092

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