Jurnal Matematika
Vol 2 No 1 (2012)

CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS

Komang Dharmawan (Unknown)

Article Info

Publish Date
14 Nov 2012

Abstract

Control diffusion processes has been found in a wide field of applicationsas in stochastic optimal control and in mathematical finance via the theory ofhedging and nonlinear pricing theory for imperfect markets. In this paper we discussthe control diffusion process with time and space dependent coefficients and localLipschitz continuity of the drift. The results show that the controlled process Xs;;utis independent of control u for a constant.

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Journal Info
Jurnal Matematika
Website

Abbrev

jmat

Publisher

Universitas Udayana

Subject

Mathematics

Description

Jurnal Matematika (p-ISSN: 1693-1394 |e-ISSN: 2655-0016| DOI: 10.24843/JMAT ) is an open access journal which publishes the scientific works for researchers. The articles of this journal are published every six months, that is on June and ...