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    Stochastic control problems and spherical functions on symmetric spaces

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    DuncanTE_April1995.pdf (3.236Mb)
    Issue Date
    1995-01-01
    Author
    Duncan, Tyrone E.
    Upmeier, Harald
    Publisher
    American Mathematical Society
    Type
    Article
    Article Version
    Scholarly/refereed, publisher version
    Metadata
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    Abstract
    A family of explicitly solvable stochastic control problems is formulated and solved in noncompact symmetric spaces. The symmetric spaces include all of the classical spaces and four of the exceptional spaces. The stochastic control problems are the control of Brownian motion in these symmetric spaces by a drift vector field. For each symmetric space a family of stochastic control problems is formulated by using spherical functions in the cost functionals. These spherical functions are explicitly described and are polynomials in suitable coordinates. A generalization to abstract root systems is given.
    Description
    This is the published version, also available here: http://dx.doi.org/10.1090/S0002-9947-1995-1284453-8#sthash.rQq993nl.dpuf. First published in Trans. Amer. Math. Soc. in 1995, published by the American Mathematical Society.
    URI
    http://hdl.handle.net/1808/16691
    DOI
    https://doi.org/10.1090/S0002-9947-1995-1284453-8#sthash.rQq993nl.dpuf
    Collections
    • Mathematics Scholarly Works [273]
    Citation
    Duncan, Tyrone E. "Stochastic control problems and spherical functions on symmetric spaces." Trans. Amer. Math. Soc. (1995) 347. 1083-1130. http://dx.doi.org/10.1090/S0002-9947-1995-1284453-8#sthash.rQq993nl.dpuf.

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    785-864-8983

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    Lawrence, KS 66045
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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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