Abstract
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.
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