Stochastic Reachability of Jump-Diffusion Process Using Sum Of Squares Optimization
نویسنده
چکیده
This note uses sum of squares (SOS) relaxation to solve stochastic reachability problems for jump-diffusion processes. The main result is a polynomial characterization of the infinitesimal generator for the solution of a jump-diffusion process’ boundary value problem, thereby enabling one to compute a bound on the probability of reaching a target set in finite time using SOS optimization.
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