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Exit probabilities for degenerate systems

  • Onésimo Hernández-Lerma
Stochastic Control
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 22)

Keywords

Stochastic Differential Equation Exit Time Distribution Solution Inclusion Probability Stochastic Control Problem 
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References

  1. 1.
    J. M. C. Clark, Stochastic differential equations on manifolds, in Geometric Methods in System Theory, D. Q. Mayne, and R. W. Brockett, eds., Reidel Pub. Co., Dordrecht, Holland, 1973.Google Scholar
  2. 2.
    W. H. Fleming, Inclusion probability and optimal stochastic control, IRIA Seminars Review, 1977.Google Scholar
  3. 3.
    W. H. Fleming, Exit probabilities and optimal stochastic control, Applied Math. and Optimization 4 (1978), 329–346.Google Scholar
  4. 4.
    W. H. Fleming and R. W. Rishel, Deterministic and Stochastic Optimal Control, Springer-Verlag, New York, 1975.Google Scholar
  5. 5.
    A. Friedman, Stochastic Differential Equations and Applications, vol. II, Academic Press, New York, 1976.Google Scholar
  6. 6.
    L. Hormander, Hypoelliptic second order differential equations, Acta Math, 119 (1968), 147–171.Google Scholar
  7. 7.
    A. D. Ventsel and M. I. Friedlin, On small random perturbations of dynamical systems, Russian Math. Surveys 25 (1970), 1–55.Google Scholar

Copyright information

© Springer-Verlag 1980

Authors and Affiliations

  • Onésimo Hernández-Lerma
    • 1
  1. 1.Departamento de MatemáticasCentro de Investigación del I.P.N.México 14D. F. Mexico

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