Exit Probabilities and Optimal Stochastic Control.

Abstract

This paper is concerned with Markov diffusion processes which obey stochastic differential equations depending on a small parameter E. The parameter enters as a coefficient in the noise term of the stochastic differential equation. The Ventcel-Freidlin estimates give asymptotic formulas (as E approaches 0) for such quantities as the probability of exit from a region D through a given portion N of the boundary increment of D, the mean exit time, and the probability of exit by a given time T. A new method to obtain such estimates is given, using ideas from stochastic control theory.

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1978
Accession Number
ADA053659

Entities

People

  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Boundaries
  • Boundary Value Problems
  • Calculus Of Variations
  • Coefficients
  • Control Theory
  • Differential Equations
  • Diffusion
  • Dynamic Programming
  • Equations
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Probability Distributions
  • Random Variables
  • Stochastic Control
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.