Stochastic Differential Systems

Inhaltsverzeichnis

• On optimal stopping times in operating systems.
• Semimartingales defined on markov processes.
• The expected value of perfect information in the optimal evolution of stochastic systems.
• Some problems of large deviations.
• On the behaviour of certain functionals of the wiener process and applications to stochastic differential equations.
• Point processes and system lifetimes.
• On weak convergence of semimartingales and point processes.
• Ito formula in banach spaces.
• General theorems of filtering with point process observations.
• Existence of partially observable stochastic optimal controls.
• On the generalization of the fefferman-garsia inequality.
• Some remarks on the purely nondeterministic property of second order random fields.
• The Hölder continuity of hilbert space valued stochastic integrals with an application to SPDE.
• On the first integrals and liouville equations for diffusion processes.
• An averaging method for the analysis of adaptive systems with small adjustment rate.
• A-spaces associated with processes. Application to stochastic equations.
• A martingale approach to first passage problems and a new condition for Wald's identity.
• A taylor formula for semimartingales solving a stochastic equation.
• On optimal sensor location in stochastic differential systems and in their deterministic analogues.
• On first order singular bellman equation.
• A limit theorem of solutions of stochastic boundary-initial-value problems.
• Stochastic integration with respect to multiparameter Gaussian processes.
• On L2 and non-L2 multiple stochastic integration.
• Optimal stochastic control under reliability constraints.
• On controlled semi-markov processes with average reward criterion.
• Likelihood ratios and kalman filtering for random fields.