Minimizing Escape Probabilities: A large Deviations Approach

DOI10.1137/0327022zbMath0666.93132OpenAlexW2105981945MaRDI QIDQ3818977

Harold J. Kushner, Paul Dupuis

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

degenerate diffusioncontrolled drift

Mathematics Subject Classification ID

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

Related Items (9)

Largest weighted delay first scheduling: Large deviations and optimality ⋮ Remarks on elliptic singular perturbation problems ⋮ Estimation of the sojourn time of a weakly perturbed Lagrangian system in a given region ⋮ Unnamed Item ⋮ Aiming control: Residence probability and \((D, T)\)-stability ⋮ Risk sensitive control of the lifetime ruin problem ⋮ Risk-Sensitive Asset Management and Cascading Defaults ⋮ Large deviation principle for dynamical systems coupled with diffusion-transmutation processes ⋮ Risk-sensitive control for a class of diffusions with jumps

This page was built for publication: Minimizing Escape Probabilities: A large Deviations Approach