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Forcing a stochastic process to stay in or to leave a given region

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Publication:805589
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DOI10.1214/AOAP/1177005986zbMath0728.93078OpenAlexW2021497571MaRDI QIDQ805589

Mario Lefebvre

Publication date: 1991

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005986


zbMATH Keywords

nonlinear controlled diffusion process


Mathematics Subject Classification ID

Optimal stochastic control (93E20)


Related Items (6)

Stochastic bargaining models ⋮ On a pursuit problem ⋮ A stochastic hunting model involving two countries ⋮ Reducing a nonlinear dynamic programming equation to a kolomogorov equation ⋮ Exit probability for an integrated geometric Brownian motion ⋮ Lqg problems with a possibly infinite final cost







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