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Zapiski Nauchnykh Seminarov POMI, 1997, Volume 244, Pages 96–118
(Mi znsl512)
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Equations for probability distributions of local time on surface for diffusion processes and control problems
N. G. Dokuchaev St. Petersburg State University, Research Institute of Mathematics and Mechanics
Abstract:
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.
Received: 02.11.1997
Citation:
N. G. Dokuchaev, “Equations for probability distributions of local time on surface for diffusion processes and control problems”, Probability and statistics. Part 2, Zap. Nauchn. Sem. POMI, 244, POMI, St. Petersburg, 1997, 96–118; J. Math. Sci. (New York), 99:2 (1997), 1075–1088
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https://www.mathnet.ru/eng/znsl512 https://www.mathnet.ru/eng/znsl/v244/p96
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Abstract page: | 130 | Full-text PDF : | 48 |
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