Stochastic Differential Systems

Inhaltsverzeichnis

• Some points of interaction between stochastic analysis and quantum theory.
• On a class of stochastic differential equations which do not satisfy Lipschitz conditions.
• Current results and issues in stochastic control.
• A method for constructing ?- optimal controls in problems with partial observation of the state.
• Overload control for SPC telephone exchanges — refined models and stochastic control.
• Stochastic maximum principle in the problem of optimal absolutely continuous change of measure.
• Asymptotic Properties of Least-Squares Estimators in Semimartingale Regression Models.
• A solution to the partially observed control problem of linear systems, with non-quadratic cost.
• Stationary control of brownian motion in several dimensions.
• Control of piecewise-deterministic processes via discrete-time dynamic programming.
• Reverse time smoothing for point process observations.
• A finitely additive version of Poincare's recurrence theorem.
• Girsanov and Feynmann-Kac formulas in the discrete stochastic mechanics.
• Existence of optimal markovian controls for degenerate diffusions.
• On Levy's area process.
• Central limit theorems and random currents.
• On girsanov solutions of infinite dimensional SDEs.
• Explicit solution of a general consumption/investment problem.
• Viscosity solutions in partially observed control.
• On necessary and sufficient conditions for the convergence to quasicontinuous semimartingales.
• Limit theorems for stochastic differential equations and stochastic flows of diffeomorphisms.
• Weak convergence and approximations for partial differential equations with random process coefficients.
• Optimal control of reflected diffusion processes : An example of state constraints.
• Asymptotic ordering of probability distributions for linear controlled systemswith quadratic cost.
• Adaptive tracking of dynamic airborne vehicles based on (flir) image plane intensity data.
• Wide band limit of Lyapounov exponents.
• Filtering with observations on a Riemannian symmetric space.
• To the theory of the generalized diffusion.
• The linear operator-valued stochastic equations.
• Stochastic calculus of variations revisited.
• Stability under small perturbations.