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W. Fleming, R. Rishel (1975)
Deterministic and Stochastic Optimal Control
W. Fleming (1977)
Exit probabilities and optimal stochastic controlApplied Mathematics and Optimization, 4
H. McKean (1969)
STOCHASTIC INTEGRALS AND DIFFERENTIALS
In this paper the logarithmic transformation of Fleming [1] is used to discuss a specific problem of controlled diffusions. The problem is to minimize a certain quadratic functional of the applied drift while satisfying the requirement that the place where the process exits a domain is not in a specified subset of its boundary. The main result is that the solution of this problem is given by the logarithm of a related exit probability.
Applied Mathematics and Optimization – Springer Journals
Published: Mar 23, 2005
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