Stochastic Differential Systems (kartoniertes Buch)

Proceedings of the IFIP-WG 7/1 Working Conference Eisenach, GDR, April 6-13,1986, Lecture Notes in Control and Information Sciences 96
ISBN/EAN: 9783540180104
Sprache: Englisch
Umfang: XII, 385 S., 3 s/w Illustr.
Auflage: 1. Auflage 1987
Einband: kartoniertes Buch
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InhaltsangabeLong-time fluctuations of weakly interacting diffusions.- An estimation problem for generalized Gaussian processes.- A critical measure-valued branching process with infinite asymptotic edensity.- On large deviations and relative entropy of Markov random fields.- Error estimates for finite-element approximation of the Zakai equation.- Semigroup properties of markov processes with a several dimensional parameter.- Large deviations of a diffusion in a bistable infinite-dimensional potential.- White noise calculus for two-parameter filtering.- Reaction-diffusion equations with white noise disturbance.- The propagation of chaos for diffusions with bad drift coefficients.- Approximation for infinite-dihensional wiener processes in separable hilbert spaces.- A prediction problem for gaussian planar processes which are markovian with respect to increasing and decreasing paths.- On the distribution of functionals of stochastic fields.- Finite-dimensional approximation of stochastic NAVIER-STOKES-equation.- Large deviations of linear stochastic differential equations.- On the semimartingale decomposition of quasidiffusions with nonnaturale scale.- Time reversal of gap diffusions.- Generalized second order differential operators and nonconservative one-dimensional quasidiffusions with natural boundaries.- On the convergence of diffusions.- Derivative free numerical methods for stochastic differential equations.- On the number of crossings of a partli reflecting hyperplane by a multidimensional wiener process.- On convergence rates of approximate solutions of stochastic equations.- On the joint distribution of the Brownian local and occupation times.- Large deviations estimates for semilinear stochastic equations.- Continuous dependence for ito equations with respect to the drift involving lie brackets.- A stochastic maximum principle.- Line integrals; stable spaces of martingales; compactization problems in optimal control.- Partially observable control of diffusions with correlated noise.- Some negative properties of nash-equilibrium strategies in stochastic differential games.- Finite dimensional approximation of an optimal control problem for stochastic partial differential equations.- Some examples of the optimal control of diffusions with partial observation and non-gaussian initial condition.- A problem of non-zero sum stopping game.- Limit theorems of probability theory and optimality in linear controlled systems with quadratic cost.- A minimal fluctuation property for coin tossing and locally symmetric martingales.- The functional law of the iterated logarithm for Lévy's area process.- Ito-Ventzel's formula for semimartingales, asymptotic properties of mle and recursive estimation.- Conditions for contiguity.- Stochastic calculus associated with skorohod's integral.- Absolute continuity of a semimartin gale with respect to a continuous increasing and adapted process.