Exit probabilities for degenerate systems
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 22)
KeywordsStochastic Differential Equation Exit Time Distribution Solution Inclusion Probability Stochastic Control Problem
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
Unable to display preview. Download preview PDF.
- 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.W. H. Fleming, Inclusion probability and optimal stochastic control, IRIA Seminars Review, 1977.Google Scholar
- 3.W. H. Fleming, Exit probabilities and optimal stochastic control, Applied Math. and Optimization 4 (1978), 329–346.Google Scholar
- 4.W. H. Fleming and R. W. Rishel, Deterministic and Stochastic Optimal Control, Springer-Verlag, New York, 1975.Google Scholar
- 5.A. Friedman, Stochastic Differential Equations and Applications, vol. II, Academic Press, New York, 1976.Google Scholar
- 6.L. Hormander, Hypoelliptic second order differential equations, Acta Math, 119 (1968), 147–171.Google Scholar
- 7.A. D. Ventsel and M. I. Friedlin, On small random perturbations of dynamical systems, Russian Math. Surveys 25 (1970), 1–55.Google Scholar
© Springer-Verlag 1980