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 processes; scalar linear stochastic system

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

Related Items

Duality theorem for the stochastic optimal control problem, Controllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version), Lagrange approach to the optimal control of diffusions, Second order stochastic differential equations and non-Gaussian reciprocal diffusions, A minimum entropy problem for stationary reversible stochastic spin systems on the infinite lattice, A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.

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