A stochastic control approach to reciprocal diffusion processes

DOI10.1007/BF01442404zbMath0728.93079MaRDI QIDQ805590

Paolo Dai Pra

Publication date: 1991

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

reciprocal processesscalar linear stochastic system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites Work

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