PDE-viscosity solution approach to some problems of large deviations
Wendell H. Fleming; Panagiotis E. Souganidis
Annali della Scuola Normale Superiore di Pisa - Classe di Scienze (1986)
- Volume: 13, Issue: 2, page 171-192
- ISSN: 0391-173X
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topFleming, Wendell H., and Souganidis, Panagiotis E.. "PDE-viscosity solution approach to some problems of large deviations." Annali della Scuola Normale Superiore di Pisa - Classe di Scienze 13.2 (1986): 171-192. <http://eudml.org/doc/83976>.
@article{Fleming1986,
author = {Fleming, Wendell H., Souganidis, Panagiotis E.},
journal = {Annali della Scuola Normale Superiore di Pisa - Classe di Scienze},
keywords = {small random perturbation; differential game; Ventcell-Freidlin theory; small diffusion; minimum exit probability; dynamic programming},
language = {eng},
number = {2},
pages = {171-192},
publisher = {Scuola normale superiore},
title = {PDE-viscosity solution approach to some problems of large deviations},
url = {http://eudml.org/doc/83976},
volume = {13},
year = {1986},
}
TY - JOUR
AU - Fleming, Wendell H.
AU - Souganidis, Panagiotis E.
TI - PDE-viscosity solution approach to some problems of large deviations
JO - Annali della Scuola Normale Superiore di Pisa - Classe di Scienze
PY - 1986
PB - Scuola normale superiore
VL - 13
IS - 2
SP - 171
EP - 192
LA - eng
KW - small random perturbation; differential game; Ventcell-Freidlin theory; small diffusion; minimum exit probability; dynamic programming
UR - http://eudml.org/doc/83976
ER -
References
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