Stochastic Differential Systems

N. Christopeit

ISBN 10: 3540120610 / ISBN 13: 9783540120612

Published by Springer Berlin Heidelberg, Springer Nov 1982, 1982

About this Item

This item is printed on demand - it takes 3-4 days longer - Neuware -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.- Sur l'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. 396 pp. Englisch.

Seller Inventory # 9783540120612

Bibliographic Details

• Title: Stochastic Differential Systems
• Publisher: Springer Berlin Heidelberg, Springer Nov 1982
• Publication Date: 1982
• Language: English
• ISBN 10: 3540120610
• ISBN 13: 9783540120612
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 244W x 170H x 22D millimeters 244 millimeters width by 170 millimeters height by 22 millimeters depth
• Weight: 681 grams