摘要:

We present a new concept of Schrödinger conditional Brownian motion, which may be considered as a generalization of the h-process given by Doob in the case that the harmonic function h is replaced by a positive solution u of Schrödinger equation M = 0.The potential term V is in the basic class K which includes unbounded functions such as the Coulomb potential.We prove that the change from the Brownian motion to the “Schrödinger process” corresponds to the change from zero drift to the drift V(lnu). Moreover, we prove that the Schrödinger process and drift V(ln u)provide the solution of the stochastic calculus of variations corresponding to a problem of least average action. This is the same type as the stochastic optimal control problem originated by Fleming.

ISSN:0090-9491    

DOI:10.1080/17442508608833397

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

It is proved that for controlled diffusions, the sets of attainable laws at a given time and attainable exit distributions, starting from a given initial law, are the same under the family of all nonanticipative controls and its subfamily of Markov controls.

ISSN:0090-9491    

DOI:10.1080/17442508608833398

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

Optimal stopping problems for Feller-Markov processes when the discount factor α→0 , and α=0 are studied under the assumption that the Markov semigroup is quasicompact. An ergodic structure of Markov process and solution of a so-called Poisson equation is found.

ISSN:0090-9491    

DOI:10.1080/17442508608833399

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

The impulsive control with long run average cost for Feller-Markov processes with quasicompact semigroups is studied.

ISSN:0090-9491    

DOI:10.1080/17442508608833400

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

We prove in this note that, for general one dimensional control problems of diffusion processes, the associated Hamilton-Jacobi-Bellman equations hold in the sense of measures for the value function.

ISSN:0090-9491    

DOI:10.1080/17442508608833401

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

Letbe i.i.d Banach space valued random variables with E expfor allLetdenote the Cramer transform of. Letbe an absolutely summable series of bounded linear operators with sum denoted by S. x$sub:t$esub: is defined by the moving average of. We prove thatsatisfies the large deviation principle with rate functioni.e. I is the Cramer transform of. A specific example in R with Eexpfor t>1 only is discussed to demonstrate that the corresponding rate function is quite different from.

ISSN:0090-9491    

DOI:10.1080/17442508608833402

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508608833396

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor