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

DOI10.1080/17442508508833355zbMath0581.60061OpenAlexW2051454374MaRDI QIDQ3703049

John 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

pathwise uniquenessHausdorff-dimensiontheory of optimal stochastic controltransition probability measure

Mathematics Subject Classification ID

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

Related Items (4)

Local asymptotics for controlled martingales ⋮ Large Deviations for Diffusions Interacting Through Their Ranks ⋮ Mean field systems on networks, with singular interaction through hitting times ⋮ Regularity conditions on parabolic measures

Cites Work

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• Examples of singular parabolic measures and singular transition probability densities
• Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
• Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs

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