Accession Number:

ADA059419

Title:

Minimum Exit Probabilities and Differential Games.

Descriptive Note:

Interim rept.,

Corporate Author:

BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s):

Report Date:

1978-07-05

Pagination or Media Count:

15.0

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

Subject Categories:

  • Statistics and Probability
  • Non-Radio Communications

Distribution Statement:

APPROVED FOR PUBLIC RELEASE