Stochastic differential systems : proceedings of the IFIP-WG 7/1 Working Conference, Eisenach, GDR, April 6-13, 1986

H.J. Engelbert, W. Schmidt (eds.)

The Fifth IFIP Working Conference on Stochastic Differential Systems continues the traditional line of previous conferences in Kyoto (1976), Vilnjus (1978), Visegrad (1980), and Marseille-Luminy (1984) and focuses on topics of present research in the field of stochastic differential systems. Particular emphasis is laid on infinite-dimensional stochastic problems and random fields, especially on stochastic partial differential equations. The volume includes contributions to the study of stochastic equations and diffusion and their approximation, large deviations and stability of perturbed systems, stochastic control theory and filtering. There are also contributions to the study of some special problems in martingale theory and stochastic calculus. This volume is of special interest to researchers in stochastic processes, random fields, and control theory.

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[目次]

  • Long-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 Levy'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.

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この本の情報

書名 Stochastic differential systems : proceedings of the IFIP-WG 7/1 Working Conference, Eisenach, GDR, April 6-13, 1986
著作者等 Engelbert, Hans Jürgen
IFIP WG 7.1
IFIP Working Conference on Stochastic Differential Systems
Schmidt, W.
Schmidt Wolfgang
Engelbert Jeff
シリーズ名 Lecture notes in control and information sciences
出版元 Springer-Verlag
刊行年月 c1987
ページ数 xii, 380 p.
大きさ 25 cm
ISBN 0387180109
3540180109
NCID BA01097613
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言語 英語
出版国 ドイツ
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