Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Let $X$ be a strong Markov process in the continuous time with a state space $\mathbb R^n$. Consider a reachability problem for this process, i.e. $$ v(x):=\mathsf P_x\{X_t\in A\text{ for some }0\leq t<\infty\} $$ for an poen set $A$. In the discrete time there is an well-known (Bellman) integral equation on $v(x)$. It is necessary condition on $v$, the actual solution is given through the supremum over all solutions of this equation over function bounded with $0$ and $1$.

I am interested if there are similar results in the continuous time. In one paper I've read that if $X$ is a diffusion process then $$ \mathcal Av(x) = 0,\text{ for }x\in A^c $$ and $v(x) = 1$ for $x\in\partial A$. Unfortunately, there were no strict conditions on the process $X$ as well as a strict proof of such a characterization.

I also put the question on MO.

share|improve this question

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.