Stochastic Differential Systems

Proceedings of the 2nd Bad Honnef Conference of the SFB 72 of the DFG at the University of Bonn June 28 – July 2, 1982

AvM. Kohlmann,N. Christopeit

Häftad, Engelska, 1982

Del 43 i serien Lecture Notes in Control and Information Sciences

556 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt över 249 kr.

Produktinformation

Utgivningsdatum:1982-11-01
Mått:170 x 244 x 22 mm
Vikt:681 g
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Control and Information Sciences
Antal sidor:381
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540120612

Utforska kategorier

Innehållsförteckning

Radon-Nikodym derivatives in case of rational spectral densities.- Differentiation of measures related to stochastic processes.- Dynkin games.- An introduction to the stochastic calculus of variations.- On one-dimensional Markov SDEs.- Some problems in sequential analysis.- A stochastic differential equation for Feller's one-dimensional diffusions.- A result of the iterated logarithm type for a certain class of stochastic processes.- Approximation of large deviations estimates and escape times and applications to systems with small noise effects.- On strong solutions of stohastic equations with respect to semimartingales.- Inverse problems in stochastic Riemannian geometry.- Some results on likelihood ratios for two-parameter processes.- Controllability of stochastic systems.- Solving the Zakai equation by ito's Method.- Simple and efficient linear and nonlinear filters by regular perturbation methods.- The non linear filtering equations.- On robust approximations in nonlinear filtering.- Smoothing of a diffusion process conditionned at final time.- First passage times in stochastic models of physical systems and in filtering theory.- Adaptive stochastic filtering problems — The continuous time case.- Between the chapters: An editor's note.- On perturbation methods in stochastic control.- A control problem in a manifold with nonsmooth boundary.- Some recent results on the control of partially observable stochastic systems.- Optimal controls for partially observed stochastic systems using nonstandard analysis.- Stochastic control with tracking of exogenous parameters.- Nisio semi-group associated to the control of Markov processes.- Optimal control of partially observed diffusions via the separation principle.- A class of singular stochastic control problems.- Surl'arret optimal de processus a deux indices reels.- Duality theory for some stochastic control models.- On the control of jump processes.- A partially observed inventory problem.- On impulsive control with long run average cost criterion.- Separation theorem for optimal impulse control with discontinuous observations.- Optimal control based on observations on the boundary.

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Stochastic Differential Systems

Proceedings of the 2nd Bad Honnef Conference of the SFB 72 of the DFG at the University of Bonn June 28 – July 2, 1982

AvM. Kohlmann,N. Christopeit

Häftad, Engelska, 1982

Del 43 i serien Lecture Notes in Control and Information Sciences

556 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt över 249 kr.

Produktinformation

Utgivningsdatum:1982-11-01
Mått:170 x 244 x 22 mm
Vikt:681 g
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Control and Information Sciences
Antal sidor:381
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540120612

Utforska kategorier

Innehållsförteckning

Radon-Nikodym derivatives in case of rational spectral densities.- Differentiation of measures related to stochastic processes.- Dynkin games.- An introduction to the stochastic calculus of variations.- On one-dimensional Markov SDEs.- Some problems in sequential analysis.- A stochastic differential equation for Feller's one-dimensional diffusions.- A result of the iterated logarithm type for a certain class of stochastic processes.- Approximation of large deviations estimates and escape times and applications to systems with small noise effects.- On strong solutions of stohastic equations with respect to semimartingales.- Inverse problems in stochastic Riemannian geometry.- Some results on likelihood ratios for two-parameter processes.- Controllability of stochastic systems.- Solving the Zakai equation by ito's Method.- Simple and efficient linear and nonlinear filters by regular perturbation methods.- The non linear filtering equations.- On robust approximations in nonlinear filtering.- Smoothing of a diffusion process conditionned at final time.- First passage times in stochastic models of physical systems and in filtering theory.- Adaptive stochastic filtering problems — The continuous time case.- Between the chapters: An editor's note.- On perturbation methods in stochastic control.- A control problem in a manifold with nonsmooth boundary.- Some recent results on the control of partially observable stochastic systems.- Optimal controls for partially observed stochastic systems using nonstandard analysis.- Stochastic control with tracking of exogenous parameters.- Nisio semi-group associated to the control of Markov processes.- Optimal control of partially observed diffusions via the separation principle.- A class of singular stochastic control problems.- Surl'arret optimal de processus a deux indices reels.- Duality theory for some stochastic control models.- On the control of jump processes.- A partially observed inventory problem.- On impulsive control with long run average cost criterion.- Separation theorem for optimal impulse control with discontinuous observations.- Optimal control based on observations on the boundary.