Optimal Exit Probabilities and Differential Games.

Abstract

The problem is to control the drift of a Markov diffusion process in such a way that the probability that the process exits from a given region D during a given finite time interval is minimum. An asymptotic formula for the minimum exit probability when the process is nearly deterministic is given. This formula involves the lower value of an associated differential game. It is related to a result of Ventsel and Freidlin for nearly deterministic, uncontrolled diffusions. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1980
Accession Number
ADA085931

Entities

People

  • Chun-ping Tsai
  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Boundary Value Problems
  • Control Systems
  • Difference Equations
  • Differential Equations
  • Diffusion
  • Dynamic Programming
  • Equations
  • Inequalities
  • Intervals
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Random Variables
  • Stochastic Control
  • Stochastic Processes
  • Time Intervals

Fields of Study

  • Mathematics

Readers

  • Combustion and Flow Dynamics.
  • Mathematical Modeling and Probability Theory.