Stochastic variational formula for fundamental solutions of parabolic PDE

Author:

Fleming Wendell H.,Sheu Sheunn-Jyi

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference17 articles.

1. Bismut JM (1983) Large Deviations and the Malliavan Calculus. Prepublications Univ. de Paris-Sud, no. 83T24

2. Bismut JM (1981) M�chanique Al�atoire. Springer Lecture Notes in Math., No. 866. Springer-Verlag, Berlin-Heidelberg-New York

3. Fleming WH (1969) The Cauchy Problem for a Nonlinear First-Order Partial Differential Equation. J Differential Eqns 5:515?530

4. Fleming WH (1969) Controlled Diffusions Under Polynomial Growth Conditions. In: Balakrishnan AV (ed) Control Theory and the Calculus of Variations Academic Press, 1969, 209?234

5. Fleming WH (1978) Exit Probabilities and Optimal Stochastic Control. Appl Math Optim 4:329?346

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