Advances in Filtering and Optimal Stochastic Control

L. G. Gorostiza

ISBN 10: 3662135310 / ISBN 13: 9783662135310

Published by Springer Berlin Heidelberg Apr 2014, 2014

About this Item

This item is printed on demand - it takes 3-4 days longer - Neuware -InhaltsangabeExistence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients.- Optimal stopping under partial observations.- Optimal control of partially observed diffusions.- Accurate evaluation of conditional densities in nonlinear filtering.- An efficient approximation scheme for a class of stochastic differential equations.- Stochastic control with noisy observations.- Applications of duality to measure-valued diffusion processes.- Optimal stopping of controlled Markov processes.- Two parameter filtering equations for jump process semimartingales.- Space-time mixing in a branching model.- Logarithmic transformations and stochastic control.- Generalized Gaussian random solutions of certain evolution equations.- Extremal controls for completely observable diffusions.- Lévy's stochastic area formula in higher dimensions.- Asymptotic nonlinear filtering and large deviations.- Representation and approximation of counting processes.- Approximate invariant measures for the asymptotic distributions of differential equations with wide band noise inputs.- Optimal stochastic control of diffusion type processes and Hamilton-Jacobi-Bellman equations.- On reducing the dimension of control problems by diffusion approximation.- Lie algebraic and approximation methods for some nonlinear filtering problems.- Optimal stopping for two-parameter processes.- Stochastic control problem for reflected diffusions in a convex bounded domain.- Nonlinear filtering of diffusion processes a guided tour.- Note on uniqueness of semigroup associated with Bellman operator.- PDE with random coefficients: Asymptotic expansion for the moments.- A discrete time stochastic decision model.- On the approximation of controlled jump diffusion processes.- On optimal stochastic control problem of large systems.- Unnormalized conditional probabilities and optimality for partially observed controlled jump Markov processes.- On normal approximation in Banach spaces.- A class of problems in the optimal control of diffusions with finitely many controls.- A resumé of some of the applications of Malliavin's calculus.- Large deviations. 404 pp. Englisch.

Seller Inventory # 9783662135310

Bibliographic Details

• Title: Advances in Filtering and Optimal Stochastic Control
• Publisher: Springer Berlin Heidelberg Apr 2014
• Publication Date: 2014
• Language: English
• ISBN 10: 3662135310
• ISBN 13: 9783662135310
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 244W x 170H x 22D millimeters 244 millimeters width by 170 millimeters height by 22 millimeters depth
• Weight: 695 grams

About this title

Synopsis

Advances in Filtering and Optimal Stochastic Control Proceedings of the IFIP WG 7 1 Working Conference Cocoyoc Mexico February 1 6 1982 Lecture Notes in Control and Information Sciences Advances in Filtering and Optimal Stochastic Control Proceedings of the IFIP WG 7 1 Working Conference Cocoyoc Mexico February 1 6 1982 Lecture Notes in Control and Information Sciences