scientific article; zbMATH DE number 919338

zbMATH Open0869.60047MaRDI QIDQ4889008FDOQ4889008

Authors: L. A. Alyushina 

Publication date: 20 November 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

optimal controlcontrolled diffusion processesstochastic ordinary differential equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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• A variational characterization of the optimal exit rate for controlled diffusions
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• A homing problem for diffusion processes with control-dependent variance.
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• A remark on one-dimensional controlled diffusion processes
• Controlled diffusions with boundary-crossing costs
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• On time-inhomogeneous controlled diffusion processes in domains
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