Stochastic control problems with functionals depending on local time (Q1422746)
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scientific article; zbMATH DE number 2046885
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic control problems with functionals depending on local time |
scientific article; zbMATH DE number 2046885 |
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Stochastic control problems with functionals depending on local time (English)
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25 February 2004
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For the probability distribution of a quantity analogous to the local sojourn of a diffusion process on a hypersurface, some equations are obtained. An original stochastic control problem for local time is considered.
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probability distribution of the local sojourn of a diffusion process
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