Forcing a stochastic process to stay in or to leave a given region (Q805589)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forcing a stochastic process to stay in or to leave a given region |
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Forcing a stochastic process to stay in or to leave a given region (English)
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1991
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The paper deals with the problem of forcing a nonlinear controlled diffusion process to stay in a given region until a given time or to leave this region before that time. A one-dimensional problem characterized by an uncontrolled process described by a Brownian motion without drift is explicitly solved. Finally the same control problem with a risk-sensitive cost criterion is considered.
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nonlinear controlled diffusion process
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