Authors:

Komang Dharmawan

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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PDF:

https://jurnal.harianregional.com/jmat/full-2920

Published

2021-11-09

How To Cite

DHARMAWAN, Komang. CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS.Jurnal Matematika, [S.l.], v. 2, n. 1, nov. 2012. ISSN 2655-0016. Available at: https://jurnal.harianregional.com/jmat/id-2920. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/JMAT.2012.v02.i01.p23.

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Issue

Vol 2 No 1 (2012)

Section

Articles

Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License