Stochastic control problems and spherical functions on symmetric spaces

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Issue Date
1995-01-01Author
Duncan, Tyrone E.
Upmeier, Harald
Publisher
American Mathematical Society
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
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.
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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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