Optimally Coupling the Kolmogorov Diffusion, and Related Optimal Control Problems

DOI10.1112/S1461157000001297zbMath1112.60062arXivmath/0602365OpenAlexW2964081128MaRDI QIDQ3430830

Paul D. Metcalfe, Kalvis M. Jansons

Publication date: 4 April 2007

Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602365

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (4)

Coupling all the Lévy stochastic areas of multidimensional Brownian motion ⋮ Gradient bounds for Kolmogorov type diffusions ⋮ Numerically Optimized Markovian Coupling and Mixing in One‐Dimensional Maps ⋮ Coupling the Kolmogorov diffusion: maximality and efficiency considerations

Cites Work

• Coupling iterated {K}olmogorov diffusions
• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)

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