Stochastic Control and Exit Probabilities of Jump Processes

DOI10.1137/0323022zbMath0567.60032OpenAlexW2052343202MaRDI QIDQ3683269

No author found.

Publication date: 1985

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0323022

zbMATH Keywords

exit probabilitiesjump processes depending on small parameters

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10)

Related Items (11)

A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ Exploring families of energy-dissipation landscapes via tilting: three types of EDP convergence ⋮ Cosh gradient systems and tilting ⋮ Transition Path Theory for Langevin Dynamics on Manifolds: Optimal Control and Data-Driven Solver ⋮ Large deviations of the trajectory of empirical distributions of Feller processes on locally compact spaces ⋮ Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games ⋮ Euclidean quantum mechanics in the momentum representation ⋮ The exponential resolvent of a Markov process and large deviations for Markov processes via Hamilton-Jacobi equations ⋮ Asymptotics of the Invariant Measure in Mean Field Models with Jumps ⋮ A variational representation for certain functionals of Brownian motion ⋮ Martingale problems for large deviations of Markov processes

This page was built for publication: Stochastic Control and Exit Probabilities of Jump Processes