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

DOI10.1214/AOAP/1177005986zbMATH Open0728.93078OpenAlexW2021497571MaRDI QIDQ805589FDOQ805589

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

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zbMATH Keywords

nonlinear controlled diffusion process

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited In (7)

• On a pursuit problem
• Stochastic bargaining models
• A stochastic hunting model involving two countries
• Forcing a controlled diffusion process to leave through the right end of an interval
• Exit probability for an integrated geometric Brownian motion
• Reducing a nonlinear dynamic programming equation to a kolomogorov equation
• Lqg problems with a possibly infinite final cost

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