Some solvable stochastic control problems in noncompact symmetric spaces of rank one

DOI10.1080/17442509108833696zbMath0728.60081OpenAlexW1984107068MaRDI QIDQ3352229

Tyrone E. Duncan

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833696

zbMATH Keywords

dynamic programmingBessel processstochastic control problemsdiffusion processes in noncompact symmetric spaces

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (3)

Solvable stochastic differential games in rank one compact symmetric spaces ⋮ Uniform convergence of the solutions of Riccati equations for a family of optimal control problems ⋮ Stochastic Control Problems and Spherical Functions on Symmetric Spaces

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