Ebook: Advances in Filtering and Optimal Stochastic Control: Proceedings of the IFIP-WG 7/1 Working Conference Cocoyoc, Mexico, February 1–6, 1982

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Content:
Front Matter....Pages -
Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients....Pages 1-17
Optimal stopping under partial observations....Pages 18-37
Optimal control of partially observed diffusions....Pages 38-53
Accurate evaluation of conditional densities in nonlinear filtering....Pages 54-68
An efficient approximation scheme for a class of stochastic differential equations....Pages 69-78
Stochastic control with noisy observations....Pages 79-90
Applications of duality to measure-valued diffusion processes....Pages 91-105
Optimal stopping of controlled Markov processes....Pages 106-112
Two parameter filtering equations for jump process semimartingales....Pages 113-124
Space-time mixing in a branching model....Pages 125-130
Logarithmic transformations and stochastic control....Pages 131-141
Generalized Gaussian random solutions of certain evolution equations....Pages 142-148
Extremal controls for completely observable diffusions....Pages 149-160
L?vy's stochastic area formula in higher dimensions....Pages 161-169
Asymptotic nonlinear filtering and large deviations....Pages 170-176
Representation and approximation of counting processes....Pages 177-191
Approximate invariant measures for the asymptotic distributions of differential equations with wide band noise inputs....Pages 192-198
Optimal stochastic control of diffusion type processes and Hamilton-Jacobi-Bellman equations....Pages 199-215
On reducing the dimension of control problems by diffusion approximation....Pages 216-224
Lie algebraic and approximation methods for some nonlinear filtering problems....Pages 225-238
Optimal stopping for two-parameter processes....Pages 239-245
Stochastic control problem for reflected diffusions in a convex bounded domain....Pages 246-255
Nonlinear filtering of diffusion processes a guided tour....Pages 256-266
Note on uniqueness of semigroup associated with Bellman operator....Pages 267-275
PDE with random coefficients: Asymptotic expansion for the moments....Pages 276-289
A discrete time stochastic decision model....Pages 290-304
On the approximation of controlled jump diffusion processes....Pages 305-311
On optimal stochastic control problem of large systems....Pages 312-325
Unnormalized conditional probabilities and optimality for partially observed controlled jump Markov processes....Pages 326-343
On normal approximation in Banach spaces....Pages 344-352
A class of problems in the optimal control of diffusions with finitely many controls....Pages 353-375
A resum? of some of the applications of Malliavin's calculus....Pages 376-381
Large deviations....Pages 382-392

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Content:
Front Matter....Pages -
Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients....Pages 1-17
Optimal stopping under partial observations....Pages 18-37
Optimal control of partially observed diffusions....Pages 38-53
Accurate evaluation of conditional densities in nonlinear filtering....Pages 54-68
An efficient approximation scheme for a class of stochastic differential equations....Pages 69-78
Stochastic control with noisy observations....Pages 79-90
Applications of duality to measure-valued diffusion processes....Pages 91-105
Optimal stopping of controlled Markov processes....Pages 106-112
Two parameter filtering equations for jump process semimartingales....Pages 113-124
Space-time mixing in a branching model....Pages 125-130
Logarithmic transformations and stochastic control....Pages 131-141
Generalized Gaussian random solutions of certain evolution equations....Pages 142-148
Extremal controls for completely observable diffusions....Pages 149-160
L?vy's stochastic area formula in higher dimensions....Pages 161-169
Asymptotic nonlinear filtering and large deviations....Pages 170-176
Representation and approximation of counting processes....Pages 177-191
Approximate invariant measures for the asymptotic distributions of differential equations with wide band noise inputs....Pages 192-198
Optimal stochastic control of diffusion type processes and Hamilton-Jacobi-Bellman equations....Pages 199-215
On reducing the dimension of control problems by diffusion approximation....Pages 216-224
Lie algebraic and approximation methods for some nonlinear filtering problems....Pages 225-238
Optimal stopping for two-parameter processes....Pages 239-245
Stochastic control problem for reflected diffusions in a convex bounded domain....Pages 246-255
Nonlinear filtering of diffusion processes a guided tour....Pages 256-266
Note on uniqueness of semigroup associated with Bellman operator....Pages 267-275
PDE with random coefficients: Asymptotic expansion for the moments....Pages 276-289
A discrete time stochastic decision model....Pages 290-304
On the approximation of controlled jump diffusion processes....Pages 305-311
On optimal stochastic control problem of large systems....Pages 312-325
Unnormalized conditional probabilities and optimality for partially observed controlled jump Markov processes....Pages 326-343
On normal approximation in Banach spaces....Pages 344-352
A class of problems in the optimal control of diffusions with finitely many controls....Pages 353-375
A resum? of some of the applications of Malliavin's calculus....Pages 376-381
Large deviations....Pages 382-392
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