Minimizing Escape Probabilities: A large Deviations Approach

DOI10.1137/0327022MaRDI QIDQ3818977zbMATH OpenOpenAlexFDO

Authors Paul Dupuis, Harold J. Kushner

Publication date 1989

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

Full work available at URL https://doi.org/10.1137/0327022

zbMATH Keywords

controlled driftdegenerate diffusion

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Differential games (aspects of game theory) (91A23) Input-output approaches in control theory (93D25) Optimal stochastic control (93E20)

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Cited in

(12)

• Aiming control: Residence probability and (D, T)-stability
• Risk sensitive control of the lifetime ruin problem
• Largest weighted delay first scheduling: Large deviations and optimality
• Risk-sensitive control for a class of diffusions with jumps
• Large deviation principle for dynamical systems coupled with diffusion-transmutation processes
• Remarks on elliptic singular perturbation problems
• On the asymptotic estimates for exit probabilities and minimum exit rates of diffusion processes pertaining to a chain of distributed control systems
• Estimation of time of perturbed Lagrangian system being in given domain
• Stochastic Control and Exit Probabilities of Jump Processes
• Risk-sensitive asset management and cascading defaults
• Risk-sensitive and robust escape control for degenerate diffusion processes
• Estimation of the sojourn time of a weakly perturbed Lagrangian system in a given region

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