Logarithmic Transformations and Stochastic Control

Abstract

We are concerned with a class of problems described in a somewhat imprecise way as follows. Consider a linear operator of the form L + V(x), where L is the generator of a Markov process x sub t and the potential V(x) is some real-valued function on the state space sigma of x sub t. We are interested in probabilistic representations for solutions phi(s,x) to a certain backward equation with data phi(T,x) = phi(x) at a final time T.

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1982
Accession Number
ADA217097

Entities

People

  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Calculus Of Variations
  • Control Theory
  • Diffusion
  • Dynamic Programming
  • Eigenvalues
  • Equations
  • Feedback
  • Generators
  • Markov Processes
  • Mathematics
  • Probability
  • Rhode Island
  • Stochastic Control
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Mathematical Modeling and Probability Theory.
  • Neurotoxicology

Technology Areas

  • Space