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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1978 Volume 23, Issue 1, Pages 120–133 (Mi tvp2980)

This article is cited in 1 paper

On the exit time from the domain

I. I. Citovič

Moscow

Abstract: Let $x_t$ be a diffusion process in a domain $G$ and its diffusion coefficient be multiplied by $\varepsilon>0$. A control of the process drift is built providing asymptotically, in $\varepsilon$, maximal mean exit time from the domain, when the domain of admissible drift values contains 0 on its boundary.

Received: 08.04.1976


 English version:
Theory of Probability and its Applications, 1978, 23:1, 117–129

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