A regularity condition on the transition probability measure of a diffusion process

DOI10.1080/17442508508833355MaRDI QIDQ3703049zbMATH OpenOpenAlexFDO

Authors J. M. McNamara

Publication date 1985

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508508833355

zbMATH Keywords

Hausdorff-dimensionpathwise uniquenesstheory of optimal stochastic controltransition probability measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cites work

• Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs
• Examples of singular parabolic measures and singular transition probability densities
• scientific article; zbMATH DE number 3941840 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• scientific article; zbMATH DE number 3109695 (Why is no real title available?)
• Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process

Cited in

(11)

• Sharp bounds for transition probability densities of a class of diffusions
• Regularity conditions on parabolic measures
• Large deviations for diffusions interacting through their ranks
• Criteria for regularity of elliptic diffusion processes and it's application
• Local asymptotics for controlled martingales
• Probability bounds for reflecting diffusion processes
• The role of correlation in diffusion control ranking games
• A sharp upper bound for the expected interval occupation time of Brownian martingales
• Two-player diffusion control games with private information
• Sharp bounds for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients
• Mean field systems on networks, with singular interaction through hitting times

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