Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems |
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Authors: | N G Dokuchaev |
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Institution: | (1) Laboratoire de Physique, CNRS, ENS Lyon, 46 all?e d’Italie, 69364 Lyon, c?dex 07, France; |
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Abstract: | We deduce equations for the probability distribution of a value similar to the local occupation time of a diffusion process
on a hypersurface. A stochastic control problem for the local occupation time is considered. Bibliography: 13 titles.
Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 244, 1997, pp. 96–118.
Translated by S. Yu. Pilyugin. |
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Keywords: | |
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