Lefebvre, Mario Forcing a stochastic process to stay in or to leave a given region. (English) Zbl 0728.93078 Ann. Appl. Probab. 1, No. 1, 167-172 (1991). The paper deals with the problem of forcing a nonlinear controlled diffusion process to stay in a given region until a given time or to leave this region before that time. A one-dimensional problem characterized by an uncontrolled process described by a Brownian motion without drift is explicitly solved. Finally the same control problem with a risk-sensitive cost criterion is considered. Reviewer: G.Di Masi (Padova) Cited in 6 Documents MSC: 93E20 Optimal stochastic control Keywords:nonlinear controlled diffusion process PDF BibTeX XML Cite \textit{M. Lefebvre}, Ann. Appl. Probab. 1, No. 1, 167--172 (1991; Zbl 0728.93078) Full Text: DOI OpenURL