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" Stochastic Control Theory and Stochastic Differential Systems : "
edited by M. Kohlmann, W. Vogel.
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BL
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| Record Number
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745806
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b565755
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| Main Entry
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edited by M. Kohlmann, W. Vogel.
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| Title & Author
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Stochastic Control Theory and Stochastic Differential Systems : : Proceedings of a Workshop of the "Sonderforschungsbereich 72 der Deutschen Forschungsgemeinschaft an der Universität Bonn"which took place in January 1979 at Bad Honnef\ edited by M. Kohlmann, W. Vogel.
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| Publication Statement
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Berlin, Heidelberg : Springer Berlin Heidelberg, 1979
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| Series Statement
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Lecture notes in control and information sciences, 16.
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(XII, 615 pages (23 pages in French). 15 figures, 1 table)
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| ISBN
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3540352112
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: 9783540352112
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| Contents
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White noise models in non-linear filtering and control --; Optimal impulsive control theory --; An introduction to duality in random mechanics --; Linear stochastic itô equations in Hilbert space --; Martingale methods in stochastic control --; A geometric approach to linear control and estimation --; The martingale calculus and applications --; Interaction between stochastic differential equations and partial differential equations --; Approximation of solutions to differential equations with random inputs by diffusion processes --; Optimal conditions and sufficient statistics for controlled jump processes --; Stochastic filtering theory: A discussion of concepts, methods, and results --; to the theory of optimal stopping --; Weak martingales associated with a two parameter jump process --; Stochastic stagewise Stackleberg strategies for linear quadratic systems --; Some remarks concerning attainable sets of stochastic optimal control systems --; Potential theory in optimal stopping and alternatinc processes --; Adaptive control of Markov chains --; Solution of the limited risk problem without rank conditions --; The parameterization of rational transferfunction linear systems --; A stochastic model for the electrical conduction in non homogeneous layers --; Policy improvement algorithm for continuous time Markov decision processes with switching costs --; An algebro-geometric approach to estimation and stochastic control for linear pure delay time systems --; A non-linear martingale problem --; Pathwise construction of random variables and function space integrals --; Non-gaussianity and non-linearity in electroencephalographic time series --; Canonical form and local characteristics of semimartingales --; On identification and the geometry of the space of linear systems --; A numerical comparison of non-linear with linear prediction for the transformed Ornstein-Uhlenbeck process --; On the bandit problem --; Existence and uniqueness for stochastic differential equations --; On the solution and the moments of linear systems with randomly disturbed parameters --; Some exact results on stability and growth of linear parameter excited stochastic systems --; A variational inequality for a partially observed stopping time problem --; Equations du filtrage non lineaire pour des processus a deux indices --; Minimum covariance, minimax and minimum energy linear estimators --; Non linear filtering for the system with general noise --; Filtering of a diffusion process with poisson-type observation --; On weak closures of convex and solid sets of probability measures --; Non L1-bounded martingales --; On the definition and detection of structural change --; Exact filtering in exponential families: Discrete time --; Lower estimation error bounds for Gauss-Poisson processes --; Sur L'Approximation D'Un Processus De Transport Par Une Diffusion --; Resolution of measurability problems in discrete --; time stochastic control --; Optimal non-explosive control of a non constrained diffusion and behaviour when the discount vanishes --; Sequential estimation of the solution of an integral equation in filtering theory --; Causal and non-anticipating solutions of stochastic equations.
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Computer science.
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M Kohlmann
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W Vogel
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