Stochastic variational formula for fundamental solutions of parabolic PDE

DOI10.1007/BF01442207zbMath0579.49013OpenAlexW2028452538MaRDI QIDQ1067195

Sheunnjyi Sheu, Wendell H. Fleming

Publication date: 1985

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01442207

zbMATH Keywords

dynamic programmingfundamental solutionsstochastic controllogarithmic transformationfixed endpointsdiffusions with

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Asymptotic behavior of solutions to PDEs (35B40) Fundamental solutions to PDEs (35A08) Optimal stochastic control (93E20) Diffusion processes (60J60) Initial value problems for second-order parabolic equations (35K15) Existence of optimal solutions to problems involving randomness (49J55)

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Cites Work

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• Stochastic calculus of variations and mechanics
• Exit probabilities and optimal stochastic control
• The Cauchy problem for a nonlinear first order partial differential equation
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
• DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY

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