This article is cited in 11 papers

On control of a diffusion process up to the time of first exit from a region

N. V. Krylov


Abstract: The problem of controlling a diffusion process with smooth coefficients up to the time of first exit from a region is reduced to the problem of controlling a diffusion process with smooth coefficients in a whole space. Three examples are considered which show the usefulness of such a reduction in deriving the Bellman equation for the original problem.
Bibliography: 12 titles.

UDC: 517.9

MSC: Primary 60J60, 93E99; Secondary 34H05, 60G40, 60H10, 60J50, 90D99

Received: 29.10.1980

 English version: Mathematics of the USSR-Izvestiya, 1982, 19:2, 297–313

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