Minimum Exit Probabilities and Differential Games.
BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS
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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
- Statistics and Probability
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