Minimum Exit Probabilities and Differential Games.
Abstract
The problem considered is that of minimizing the probability that a controlled diffusion process exits from a given region of 'acceptable' states during a given time interval. The controlled diffusion obeys a stochastic differential equation driven by low intensity white noise. An asymptotic estimate of Ventcel-Freidlin type is given for the minimum exit probability. The crucial parameter in this estimate is the lower value of a certain differential game. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 05, 1978
- Accession Number
- ADA059419
Entities
People
- Chun-ping Tsai
- Wendell Fleming
Organizations
- Brown University