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)

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

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