Skip to main content
SpringerLink
Log in

A stochastic control approach to some large deviations problems

  • Conference paper
  • First Online:
Recent Mathematical Methods in Dynamic Programming

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 1119))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 29.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 37.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. M. D. Donsker and S. R. S. Varadhan, Asymptotic evaluation of certain Markov process expectations for large time I, Comm, Pure Appl. Math. 27 (1975), 1–47.

    MathSciNet  MATH  Google Scholar 

  2. Ibid, Comm. Pure Appl. Math. 28 (1975), 279–301.

    Article  MathSciNet  MATH  Google Scholar 

  3. Ibid, Comm Pure Appl. Math. 29 (1976), 389–461.

    Article  MathSciNet  MATH  Google Scholar 

  4. L. C. Evans and H. Ishii, A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities, preprint.

    Google Scholar 

  5. W. H. Fleming, Stochastic control for small noise intensities, SIAM J. Control 9 (1971), 473–517.

    Article  MathSciNet  MATH  Google Scholar 

  6. W. H. Fleming, Exit probabilities and stochastic control, Appl. Math. Optim. 4 (1978), 329–346.

    Article  MathSciNet  MATH  Google Scholar 

  7. W. H. Fleming and R. W. Rishel, Deterministic and Stochastic Optimal Control, Springer-Verlag, 1975.

    Google Scholar 

  8. W. H. Fleming and P. E. Souganidis, A PDE approach to asymptotic estimates for optimal exit probabilities, submitted to Annali Scuola Normale Superiore Pisa.

    Google Scholar 

  9. W. H. Fleming and M. Viot, Some measure-valued processes in population genetics theory, Indiana Univ. Math. J. 28 (1979), 817–843.

    Article  MathSciNet  MATH  Google Scholar 

  10. C. J. Holland, A new energy characterization of the smallest eigenvalue of the Schrödinger equation, Comm. Pure Appl. Math. 30 (1977), 755–765.

    Article  MathSciNet  Google Scholar 

  11. C. J. Holland, A minimum principle for the principal eigenvalue for second order linear elliptic equations with natural boundary conditions, Comm. Pure Appl. Math. 31 (1978), 509–520.

    Article  MathSciNet  MATH  Google Scholar 

  12. S.-J. Sheu, Optimal control and its application to large deviation theory, Brown Univ. PhD Thesis 1983.

    Google Scholar 

  13. S.-J. Sheu, Stochastic control and principal eigenvalue, Stochastics 11, (1984), 191–211.

    Article  MathSciNet  MATH  Google Scholar 

  14. M. I. Freidlin and A. D. Wentzell, Random Perturbations of Dynamical Systems, Springer-Verlag, 1984.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Lefschetz Center for Dynamical Systems Division of Applied Mathematics, Brown University, 02912, Providence, Rhode Island

    Wendell H. Fleming

Authors
  1. Wendell H. Fleming
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Italo Capuzzo Dolcetta Wendell H. Fleming Tullio Zolezzi

Rights and permissions

Reprints and permissions

Copyright information

© 1985 Springer-Verlag

About this paper

Cite this paper

Fleming, W.H. (1985). A stochastic control approach to some large deviations problems. In: Dolcetta, I.C., Fleming, W.H., Zolezzi, T. (eds) Recent Mathematical Methods in Dynamic Programming. Lecture Notes in Mathematics, vol 1119. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0074780

Download citation

  • DOI: https://doi.org/10.1007/BFb0074780

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-15217-0

  • Online ISBN: 978-3-540-39365-8

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation