Accession Number:

ADA053659

Title:

Exit Probabilities and Optimal Stochastic Control.

Descriptive Note:

Interim rept.,

Corporate Author:

BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s):

Report Date:

1978-02-01

Pagination or Media Count:

35.0

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE