Ebook: Stochastic Differential Systems: Proceedings of the IFIP-WG 7/1 Working Conference Eisenach, GDR, April 6–13, 1986

The Fifth IFIP Working Conference on Stochastic Differential Systems continues the traditional line of previous conferences in Kyoto (1976), Vilnjus (1978), Visegrad (1980), and Marseille-Luminy (1984) and focuses on topics of present research in the field of stochastic differential systems. Particular emphasis is laid on infinite-dimensional stochastic problems and random fields, especially on stochastic partial differential equations. The volume includes contributions to the study of stochastic equations and diffusion and their approximation, large deviations and stability of perturbed systems, stochastic control theory and filtering. There are also contributions to the study of some special problems in martingale theory and stochastic calculus. This volume is of special interest to researchers in stochastic processes, random fields, and control theory.

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The Fifth IFIP Working Conference on Stochastic Differential Systems continues the traditional line of previous conferences in Kyoto (1976), Vilnjus (1978), Visegrad (1980), and Marseille-Luminy (1984) and focuses on topics of present research in the field of stochastic differential systems. Particular emphasis is laid on infinite-dimensional stochastic problems and random fields, especially on stochastic partial differential equations. The volume includes contributions to the study of stochastic equations and diffusion and their approximation, large deviations and stability of perturbed systems, stochastic control theory and filtering. There are also contributions to the study of some special problems in martingale theory and stochastic calculus. This volume is of special interest to researchers in stochastic processes, random fields, and control theory.

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The Fifth IFIP Working Conference on Stochastic Differential Systems continues the traditional line of previous conferences in Kyoto (1976), Vilnjus (1978), Visegrad (1980), and Marseille-Luminy (1984) and focuses on topics of present research in the field of stochastic differential systems. Particular emphasis is laid on infinite-dimensional stochastic problems and random fields, especially on stochastic partial differential equations. The volume includes contributions to the study of stochastic equations and diffusion and their approximation, large deviations and stability of perturbed systems, stochastic control theory and filtering. There are also contributions to the study of some special problems in martingale theory and stochastic calculus. This volume is of special interest to researchers in stochastic processes, random fields, and control theory.
Content:
Front Matter....Pages -
Long-time fluctuations of weakly interacting diffusions....Pages 1-10
An estimation problem for generalized Gaussian processes....Pages 11-21
A critical measure-valued branching process with infinite asymptotic edensity....Pages 22-26
On large deviations and relative entropy of Markov random fields....Pages 27-32
Error estimates for finite-element approximation of the Zakai equation....Pages 33-44
Semigroup properties of markov processes with a several dimensional parameter....Pages 45-50
Large deviations of a diffusion in a bistable infinite-dimensional potential....Pages 51-60
White noise calculus for two-parameter filtering....Pages 61-69
Reaction-diffusion equations with white noise disturbance....Pages 70-76
The propagation of chaos for diffusions with bad drift coefficients....Pages 77-81
Approximation for infinite-dihensional wiener processes in separable hilbert spaces....Pages 82-87
A prediction problem for gaussian planar processes which are markovian with respect to increasing and decreasing paths....Pages 88-98
On the distribution of functionals of stochastic fields....Pages 99-108
Finite-dimensional approximation of stochastic NAVIER-STOKES-equation....Pages 109-114
Large deviations of linear stochastic differential equations....Pages 115-151
On the semimartingale decomposition of quasidiffusions with nonnaturale scale....Pages 152-155
Time reversal of gap diffusions....Pages 156-163
Generalized second order differential operators and nonconservative one-dimensional quasidiffusions with natural boundaries....Pages 164-175
On the convergence of diffusions....Pages 176-186
Derivative free numerical methods for stochastic differential equations....Pages 187-193
On the number of crossings of a partli reflecting hyperplane by a multidimensional wiener process....Pages 194-203
On convergence rates of approximate solutions of stochastic equations....Pages 204-212
On the joint distribution of the Brownian local and occupation times....Pages 213-217
Large deviations estimates for semilinear stochastic equations....Pages 218-231
Continuous dependence for ito equations with respect to the drift involving lie brackets....Pages 232-244
A stochastic maximum principle....Pages 245-252
Line integrals; stable spaces of martingales; compactization problems in optimal control....Pages 253-271
Partially observable control of diffusions with correlated noise....Pages 272-285
Some negative properties of nash-equilibrium strategies in stochastic differential games....Pages 286-293
Finite dimensional approximation of an optimal control problem for stochastic partial differential equations....Pages 294-300
Some examples of the optimal control of diffusions with partial observation and non-gaussian initial condition....Pages 301-309
A problem of non-zero sum stopping game....Pages 310-315
Limit theorems of probability theory and optimality in linear controlled systems with quadratic cost....Pages 316-329
A minimal fluctuation property for coin tossing and locally symmetric martingales....Pages 331-337
The functional law of the iterated logarithm for L?vy's area process....Pages 338-345
Ito-Ventzel's formula for semimartingales, asymptotic properties of mle and recursive estimation....Pages 346-355
Conditions for contiguity....Pages 356-362
Stochastic calculus associated with skorohod's integral....Pages 363-372
Absolute continuity of a semimartin gale with respect to a continuous increasing and adapted process....Pages 373-380

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The Fifth IFIP Working Conference on Stochastic Differential Systems continues the traditional line of previous conferences in Kyoto (1976), Vilnjus (1978), Visegrad (1980), and Marseille-Luminy (1984) and focuses on topics of present research in the field of stochastic differential systems. Particular emphasis is laid on infinite-dimensional stochastic problems and random fields, especially on stochastic partial differential equations. The volume includes contributions to the study of stochastic equations and diffusion and their approximation, large deviations and stability of perturbed systems, stochastic control theory and filtering. There are also contributions to the study of some special problems in martingale theory and stochastic calculus. This volume is of special interest to researchers in stochastic processes, random fields, and control theory.
Content:
Front Matter....Pages -
Long-time fluctuations of weakly interacting diffusions....Pages 1-10
An estimation problem for generalized Gaussian processes....Pages 11-21
A critical measure-valued branching process with infinite asymptotic edensity....Pages 22-26
On large deviations and relative entropy of Markov random fields....Pages 27-32
Error estimates for finite-element approximation of the Zakai equation....Pages 33-44
Semigroup properties of markov processes with a several dimensional parameter....Pages 45-50
Large deviations of a diffusion in a bistable infinite-dimensional potential....Pages 51-60
White noise calculus for two-parameter filtering....Pages 61-69
Reaction-diffusion equations with white noise disturbance....Pages 70-76
The propagation of chaos for diffusions with bad drift coefficients....Pages 77-81
Approximation for infinite-dihensional wiener processes in separable hilbert spaces....Pages 82-87
A prediction problem for gaussian planar processes which are markovian with respect to increasing and decreasing paths....Pages 88-98
On the distribution of functionals of stochastic fields....Pages 99-108
Finite-dimensional approximation of stochastic NAVIER-STOKES-equation....Pages 109-114
Large deviations of linear stochastic differential equations....Pages 115-151
On the semimartingale decomposition of quasidiffusions with nonnaturale scale....Pages 152-155
Time reversal of gap diffusions....Pages 156-163
Generalized second order differential operators and nonconservative one-dimensional quasidiffusions with natural boundaries....Pages 164-175
On the convergence of diffusions....Pages 176-186
Derivative free numerical methods for stochastic differential equations....Pages 187-193
On the number of crossings of a partli reflecting hyperplane by a multidimensional wiener process....Pages 194-203
On convergence rates of approximate solutions of stochastic equations....Pages 204-212
On the joint distribution of the Brownian local and occupation times....Pages 213-217
Large deviations estimates for semilinear stochastic equations....Pages 218-231
Continuous dependence for ito equations with respect to the drift involving lie brackets....Pages 232-244
A stochastic maximum principle....Pages 245-252
Line integrals; stable spaces of martingales; compactization problems in optimal control....Pages 253-271
Partially observable control of diffusions with correlated noise....Pages 272-285
Some negative properties of nash-equilibrium strategies in stochastic differential games....Pages 286-293
Finite dimensional approximation of an optimal control problem for stochastic partial differential equations....Pages 294-300
Some examples of the optimal control of diffusions with partial observation and non-gaussian initial condition....Pages 301-309
A problem of non-zero sum stopping game....Pages 310-315
Limit theorems of probability theory and optimality in linear controlled systems with quadratic cost....Pages 316-329
A minimal fluctuation property for coin tossing and locally symmetric martingales....Pages 331-337
The functional law of the iterated logarithm for L?vy's area process....Pages 338-345
Ito-Ventzel's formula for semimartingales, asymptotic properties of mle and recursive estimation....Pages 346-355
Conditions for contiguity....Pages 356-362
Stochastic calculus associated with skorohod's integral....Pages 363-372
Absolute continuity of a semimartin gale with respect to a continuous increasing and adapted process....Pages 373-380
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