Ebook: Stochastic Differential Systems: Proceedings of the 2nd Bad Honnef Conference of the SFB 72 of the DFG at the University of Bonn June 28 – July 2, 1982

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Content:
Front Matter....Pages -
Radon-Nikodym derivatives in case of rational spectral densities....Pages 1-15
Differentiation of measures related to stochastic processes....Pages 16-22
Dynkin games....Pages 23-32
An introduction to the stochastic calculus of variations....Pages 33-72
On one-dimensional Markov SDEs....Pages 73-84
Some problems in sequential analysis....Pages 85-93
A stochastic differential equation for Feller's one-dimensional diffusions....Pages 94-101
A result of the iterated logarithm type for a certain class of stochastic processes....Pages 102-108
Approximation of large deviations estimates and escape times and applications to systems with small noise effects....Pages 109-121
On strong solutions of stohastic equations with respect to semimartingales....Pages 122-127
Inverse problems in stochastic Riemannian geometry....Pages 128-134
Some results on likelihood ratios for two-parameter processes....Pages 135-143
Controllability of stochastic systems....Pages 144-154
Solving the Zakai equation by ito's Method....Pages 155-161
Simple and efficient linear and nonlinear filters by regular perturbation methods....Pages 162-167
The non linear filtering equations....Pages 168-178
On robust approximations in nonlinear filtering....Pages 179-186
Smoothing of a diffusion process conditionned at final time....Pages 187-196
First passage times in stochastic models of physical systems and in filtering theory....Pages 197-204
Adaptive stochastic filtering problems — The continuous time case....Pages 205-211
Between the chapters: An editor's note....Pages 212-213
On perturbation methods in stochastic control....Pages 215-228
A control problem in a manifold with nonsmooth boundary....Pages 229-250
Some recent results on the control of partially observable stochastic systems....Pages 251-275
Optimal controls for partially observed stochastic systems using nonstandard analysis....Pages 276-284
Stochastic control with tracking of exogenous parameters....Pages 285-293
Nisio semi-group associated to the control of Markov processes....Pages 294-301
Optimal control of partially observed diffusions via the separation principle....Pages 302-311
A class of singular stochastic control problems....Pages 312-319
Sur l'arret optimal de processus a deux indices reels....Pages 320-328
Duality theory for some stochastic control models....Pages 329-337
On the control of jump processes....Pages 338-344
A partially observed inventory problem....Pages 345-353
On impulsive control with long run average cost criterion....Pages 354-360
Separation theorem for optimal impulse control with discontinuous observations....Pages 361-368
Optimal control based on observations on the boundary....Pages 369-377

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Content:
Front Matter....Pages -
Radon-Nikodym derivatives in case of rational spectral densities....Pages 1-15
Differentiation of measures related to stochastic processes....Pages 16-22
Dynkin games....Pages 23-32
An introduction to the stochastic calculus of variations....Pages 33-72
On one-dimensional Markov SDEs....Pages 73-84
Some problems in sequential analysis....Pages 85-93
A stochastic differential equation for Feller's one-dimensional diffusions....Pages 94-101
A result of the iterated logarithm type for a certain class of stochastic processes....Pages 102-108
Approximation of large deviations estimates and escape times and applications to systems with small noise effects....Pages 109-121
On strong solutions of stohastic equations with respect to semimartingales....Pages 122-127
Inverse problems in stochastic Riemannian geometry....Pages 128-134
Some results on likelihood ratios for two-parameter processes....Pages 135-143
Controllability of stochastic systems....Pages 144-154
Solving the Zakai equation by ito's Method....Pages 155-161
Simple and efficient linear and nonlinear filters by regular perturbation methods....Pages 162-167
The non linear filtering equations....Pages 168-178
On robust approximations in nonlinear filtering....Pages 179-186
Smoothing of a diffusion process conditionned at final time....Pages 187-196
First passage times in stochastic models of physical systems and in filtering theory....Pages 197-204
Adaptive stochastic filtering problems — The continuous time case....Pages 205-211
Between the chapters: An editor's note....Pages 212-213
On perturbation methods in stochastic control....Pages 215-228
A control problem in a manifold with nonsmooth boundary....Pages 229-250
Some recent results on the control of partially observable stochastic systems....Pages 251-275
Optimal controls for partially observed stochastic systems using nonstandard analysis....Pages 276-284
Stochastic control with tracking of exogenous parameters....Pages 285-293
Nisio semi-group associated to the control of Markov processes....Pages 294-301
Optimal control of partially observed diffusions via the separation principle....Pages 302-311
A class of singular stochastic control problems....Pages 312-319
Sur l'arret optimal de processus a deux indices reels....Pages 320-328
Duality theory for some stochastic control models....Pages 329-337
On the control of jump processes....Pages 338-344
A partially observed inventory problem....Pages 345-353
On impulsive control with long run average cost criterion....Pages 354-360
Separation theorem for optimal impulse control with discontinuous observations....Pages 361-368
Optimal control based on observations on the boundary....Pages 369-377
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