CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS

Komang Dharmawan

doi:10.24843/JMAT.2012.v02.i01.p23

CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS

Komang Dharmawan

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Abstrak

Control diffusion processes has been found in a wide field of applications
as 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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##submission.authorBiography##

Komang Dharmawan

Jurusan Matematika FMIPA, Universitas Udayana
Kampus Bukit Jimbaran Badung, Bali

PDF (English)

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DHARMAWAN, Komang. CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS. Jurnal Matematika, [S.l.], v. 2, n. 1, nov. 2012. ISSN 2655-0016. Tersedia pada: <https://ojs.unud.ac.id./index.php/jmat/article/view/2920>. Tanggal Akses: 21 apr. 2025 doi: https://doi.org/10.24843/JMAT.2012.v02.i01.p23.

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