Coupling the Kolmogorov diffusion: maximality and efficiency considerations
نویسندگان
چکیده
منابع مشابه
Optimally Coupling the Kolmogorov Diffusion, and Related Optimal Control Problems
We discuss the optimal Markovian coupling before an exponential time of the Kolmogorov diffusion, and a class of related stochastic control problems in which the aim is to hit the origin before an exponential time. We provide a scaling argument for the optimal control in the near field and use rational WKB approximation to obtain the optimal control in the far field, and compare these analytica...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2016
ISSN: 0001-8678,1475-6064
DOI: 10.1017/apr.2016.40