Equations for probability distributions of local time on surface for diffusion processes and control problems
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 2, Tome 244 (1997), pp. 96-118
Voir la notice de l'article provenant de la source Math-Net.Ru
The paper studies local time on surface for general $n$-dimensional diffusion process. Analogs of Kolmogorov–Fokker–Planck equations for the characteristic function and probability distributions of local time are derived
and investigated for a wide class of $(n-1)$-dimensional surfaces. A general explicit formula which is an analog of the Tanaka formula is presented. Optimal control problems with functionals which depend on local time are investigated.
@article{ZNSL_1997_244_a5,
author = {N. G. Dokuchaev},
title = {Equations for probability distributions of local time on surface for diffusion processes and control problems},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {96--118},
publisher = {mathdoc},
volume = {244},
year = {1997},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a5/}
}
TY - JOUR AU - N. G. Dokuchaev TI - Equations for probability distributions of local time on surface for diffusion processes and control problems JO - Zapiski Nauchnykh Seminarov POMI PY - 1997 SP - 96 EP - 118 VL - 244 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a5/ LA - ru ID - ZNSL_1997_244_a5 ER -
%0 Journal Article %A N. G. Dokuchaev %T Equations for probability distributions of local time on surface for diffusion processes and control problems %J Zapiski Nauchnykh Seminarov POMI %D 1997 %P 96-118 %V 244 %I mathdoc %U http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a5/ %G ru %F ZNSL_1997_244_a5
N. G. Dokuchaev. Equations for probability distributions of local time on surface for diffusion processes and control problems. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 2, Tome 244 (1997), pp. 96-118. http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a5/