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On a stochastic control problem with exit constraints

On a stochastic control problem with exit constraints 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

On a stochastic control problem with exit constraints

Applied Mathematics and Optimization , Volume 6 (1) – Mar 23, 2005

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References (3)

Publisher
Springer Journals
Copyright
Copyright © 1980 by Springer-Verlag New York Inc
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/BF01442892
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Mar 23, 2005

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