{"title":"Minimum Exit Probabilities and Differential Games","authors":"W. Fleming, Chun-Ping Tsai","doi":"10.1201/9781003071877-4","DOIUrl":null,"url":null,"abstract":"Abstract : The problem considered is that of minimizing the probability that a controlled diffusion process exits from a given region of 'acceptable' states during a given time interval. The controlled diffusion obeys a stochastic differential equation driven by low intensity white noise. An asymptotic estimate of Ventcel-Freidlin type is given for the minimum exit probability. The crucial parameter in this estimate is the lower value of a certain differential game. (Author)","PeriodicalId":350893,"journal":{"name":"Differential Games and Control Theory III","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1978-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Differential Games and Control Theory III","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1201/9781003071877-4","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
Abstract : The problem considered is that of minimizing the probability that a controlled diffusion process exits from a given region of 'acceptable' states during a given time interval. The controlled diffusion obeys a stochastic differential equation driven by low intensity white noise. An asymptotic estimate of Ventcel-Freidlin type is given for the minimum exit probability. The crucial parameter in this estimate is the lower value of a certain differential game. (Author)
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