On the exit time from the domain
Teoriâ veroâtnostej i ee primeneniâ, Tome 23 (1978) no. 1, pp. 120-133
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Let $x_t$ be a diffusion process in a domain $G$ and its diffusion coefficient be multiplied by $\varepsilon>0$. A control of the process drift is built providing asymptotically, in $\varepsilon$, maximal mean exit time from the domain, when the domain of admissible drift values contains 0 on its boundary.
@article{TVP_1978_23_1_a8,
author = {I. I. Citovi\v{c}},
title = {On the exit time from the domain},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {120--133},
publisher = {mathdoc},
volume = {23},
number = {1},
year = {1978},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1978_23_1_a8/}
}
I. I. Citovič. On the exit time from the domain. Teoriâ veroâtnostej i ee primeneniâ, Tome 23 (1978) no. 1, pp. 120-133. http://geodesic.mathdoc.fr/item/TVP_1978_23_1_a8/