UDP is obviously a send-and-forget protocol. For example, during an NMap UDP scan, the only way to definitively prove that a UDP port is open is if you receive a response from that port. Keep in mind that many services may not reply to arbitrary data and require protocol or application-specific requests in order to warrant a response. Certain ICMP codes can guarantee that the port is closed, however. RFC 792 and RFC 1122 give us some good information as to what to expect when a port is closed.
For example, an ICMP type 3 code 3 "Destination Port Unreachable" is, for all intents and purposes, almost guaranteed to be a closed port.
A full list of codes can be found here:
http://www.iana.org/assignments/icmp-parameters/icmp-parameters.xhtml
