CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS
Abstract
Control diffusion processes has been found in a wide field of applicationsas in stochastic optimal control and in mathematical finance via the theory of
hedging and nonlinear pricing theory for imperfect markets. In this paper we discuss
the control diffusion process with time and space dependent coefficients and local
Lipschitz continuity of the drift. The results show that the controlled process Xs;;u
t
is independent of control u for a constant.
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How to Cite
DHARMAWAN, Komang.
CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS.
Jurnal Matematika, [S.l.], v. 2, n. 1, nov. 2012.
ISSN 2655-0016.
Available at: <https://ojs.unud.ac.id/index.php/jmat/article/view/2920>. Date accessed: 14 nov. 2024.
doi: https://doi.org/10.24843/JMAT.2012.v02.i01.p23.
Issue
Section
Articles
Keywords
Stochastic Differential Equations, Lipschitz continuity, Control Diffusion Process
