Maximum Level and Hitting Probabilities in Stochastic Fluid Flows using Matrix Differential Riccati Equations

HAL Id: inria-00123245

https://hal.inria.fr/inria-00123245v3

Submitted on 26 Jun 2007

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Maximum Level and Hitting Probabilities in Stochastic Fluid Flows using Matrix Differential Riccati Equations

Bruno Sericola, Marie-Ange Remiche

To cite this version:

Bruno Sericola, Marie-Ange Remiche. Maximum Level and Hitting Probabilities in Stochastic Fluid Flows using Matrix Differential Riccati Equations. [Research Report] RR-6230, INRIA. 2007. �inria- 00123245v3�

ISSN 0249-6399

a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

Maximum Level and Hitting Probabilities in Stochastic Fluid Flows using Matrix Differential Riccati Equations

Bruno Sericola and Marie-Ange Remiche

N˚6230

January 2007

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