Large Deviations for Diffusions Depending on Small Parameters: A Stochastic Control Method.

Abstract

This paper considers stochastic differential equations depending on a small parameter epsilon, which enters as a coefficient in the noise term of the equation. The Ventcel-Freidlin estimates give an asymptotic formula as epsilon approaches 0 for the probability that a solution trajectory hits a given compact set B during a given time interval. A stochastic control method to obtain such estimates is outlined. Detailed proofs are given elsewhere. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1978
Accession Number
ADA055652

Entities

People

  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Coefficients
  • Differential Equations
  • Diffusion
  • Equations
  • Integrals
  • Intervals
  • Mathematical Analysis
  • Mathematics
  • Probability
  • Real Variables
  • Stochastic Control
  • Time Intervals
  • Trajectories
  • Universities

Fields of Study

  • Mathematics

Readers

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