Advances in Filtering and Optimal Stochastic Control

Inhaltsverzeichnis

• Existence, 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 controlproblem 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.