CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS
Abstract: Control diffusion
processes has been found in a wide field of applications as in stochastic
optimal control and in mathematical finance via the theory ofhedging and
nonlinear pricing theory for imperfect markets. In this paper we discuss the
control diffusion process with time and space dependent coefficients and localLipschitz
continuity of the drift. The results show that the controlled process Xt s;ΞΎ;u is
independent of control u for a constant.
Author: Komang Dharmawan
Journal Code: jpmatematikagg120007
