摘要:

An increasing process associated in a natural sense with each process of bounded x-variation leads us to an extension of an inequality of Burkholder, Davis, Gundy and allows us to determine the regularity of such processes

ISSN:0090-9491    

DOI:10.1080/17442508808833510

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

Using homogenization theory we treat the problem of controlled diffusions in a random medium with rapidly varying composition. This involves homogenization of a nonlinear Bellman dynamic programming equation wtih rapidly varying random coefficients. The appropriate "averaged form" of this equation is derived to define the limiting contrl problem; and a precise convergence result is given

ISSN:0090-9491    

DOI:10.1080/17442508808833511

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

The large deviation principle obtained by Ventcel-Freidlin for the measures associated with time homogeneous Markov diffusions is extended to the measures given by non-homogeneous functional stochastic differential equations. The paper uses Keisler's infinitestimal technique for solving SDE's, together with a natural nonstrandard representation of action that simplifies calculations

ISSN:0090-9491    

DOI:10.1080/17442508808833512

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508808833509

出版商:Gordon and Breach Science Publishers    

年代:1988

数据来源: Taylor