Stochastic Differential Systems | Proceedings of the 3rd Bad Honnef Conference June 3-7, 1985

Norbert Christopeit (u. a.)

ISBN 10: 3540162283 / ISBN 13: 9783540162285

Editore: Springer, 1986

Stochastic Differential Systems | Proceedings of the 3rd Bad Honnef Conference June 3-7, 1985 | Norbert Christopeit (u. a.) | Taschenbuch | Lecture Notes in Control and Information Sciences | v | Englisch | 1986 | Springer | EAN 9783540162285 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. Codice articolo 102150554

Riassunto:

Book by None

Contenuti: Some points of interaction between stochastic analysis and quantum theory.- On a class of stochastic differential equations which do not satisfy Lipschitz conditions.- Current results and issues in stochastic control.- A method for constructing ?- optimal controls in problems with partial observation of the state.- Overload control for SPC telephone exchanges — refined models and stochastic control.- Stochastic maximum principle in the problem of optimal absolutely continuous change of measure.- Asymptotic Properties of Least-Squares Estimators in Semimartingale Regression Models.- A solution to the partially observed control problem of linear systems, with non-quadratic cost.- Stationary control of brownian motion in several dimensions.- Control of piecewise-deterministic processes via discrete-time dynamic programming.- Reverse time smoothing for point process observations.- A finitely additive version of Poincare's recurrence theorem.- Girsanov and Feynmann-Kac formulas in the discrete stochastic mechanics.- Existence of optimal markovian controls for degenerate diffusions.- On Levy's area process.- Central limit theorems and random currents.- On girsanov solutions of infinite dimensional SDEs.- Explicit solution of a general consumption/investment problem.- Viscosity solutions in partially observed control.- On necessary and sufficient conditions for the convergence to quasicontinuous semimartingales.- Limit theorems for stochastic differential equations and stochastic flows of diffeomorphisms.- Weak convergence and approximations for partial differential equations with random process coefficients.- Optimal control of reflected diffusion processes : An example of state constraints.- Asymptotic ordering of probability distributions for linear controlled systems with quadratic cost.- Adaptive tracking of dynamic airborne vehicles based on (flir) image plane intensity data.- Wide band limit of Lyapounov exponents.- Filtering with observations on a Riemannian symmetric space.- To the theory of the generalized diffusion.- The linear operator-valued stochastic equations.- Stochastic calculus of variations revisited.- Stability under small perturbations.

Dati bibliografici

Titolo: Stochastic Differential Systems | ...
Casa editrice: Springer
Data di pubblicazione: 1986
Legatura: Taschenbuch
Condizione: Neu