Forcing a stochastic process to stay in or to leave a given region

DOI10.1214/AOAP/1177005986MaRDI QIDQ805589zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 1991

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1177005986

zbMATH Keywords

nonlinear controlled diffusion process

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Review text

The paper deals with the problem of forcing a nonlinear controlled diffusion process to stay in a given region until a given time or to leave this region before that time. A one-dimensional problem characterized by an uncontrolled process described by a Brownian motion without drift is explicitly solved. Finally the same control problem with a risk-sensitive cost criterion is considered.

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• On a pursuit problem
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