Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems

Mathematics – Optimization and Control

Scientific paper

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revised version for publication in Bulletin des Sciences Mathematiques

Scientific paper

We provide a short and elementary proof for the recently proved result by G.
da Prato and H. Frankowska that -- under minimal assumptions -- a closed set is
invariant with respect to a stochastic control system if and only if it is
invariant with respect to the (associated) deterministic control system.

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