Ebook: 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

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Content:
Front Matter....Pages -
White noise models in non-linear filtering and control....Pages 1-16
Optimal impulsive control theory....Pages 17-41
An introduction to duality in random mechanics....Pages 42-60
Linear stochastic it? equations in Hilbert space....Pages 61-84
Martingale methods in stochastic control....Pages 85-117
A geometric approach to linear control and estimation....Pages 118-141
The martingale calculus and applications....Pages 142-155
Interaction between stochastic differential equations and partial differential equations....Pages 156-171
Approximation of solutions to differential equations with random inputs by diffusion processes....Pages 172-193
Optimal conditions and sufficient statistics for controlled jump processes....Pages 194-208
Stochastic filtering theory: A discussion of concepts, methods, and results....Pages 209-226
Introduction to the theory of optimal stopping....Pages 227-250
Weak martingales associated with a two parameter jump process....Pages 251-263
Stochastic stagewise Stackleberg strategies for linear quadratic systems....Pages 264-276
Some remarks concerning attainable sets of stochastic optimal control systems....Pages 277-284
Potential theory in optimal stopping and alternatinc processes....Pages 285-293
Adaptive control of Markov chains....Pages 294-296
Solution of the limited risk problem without rank conditions....Pages 297-302
The parameterization of rational transferfunction linear systems....Pages 303-310
A stochastic model for the electrical conduction in non homogeneous layers....Pages 311-319
Policy improvement algorithm for continuous time Markov decision processes with switching costs....Pages 320-331
An algebro-geometric approach to estimation and stochastic control for linear pure delay time systems....Pages 332-343
A non-linear martingale problem....Pages 344-361
Pathwise construction of random variables and function space integrals....Pages 362-372
Non-gaussianity and non-linearity in electroencephalographic time series....Pages 373-386
Canonical form and local characteristics of semimartingales....Pages 387-400
On identification and the geometry of the space of linear systems....Pages 401-415
A numerical comparison of non-linear with linear prediction for the transformed Ornstein-Uhlenbeck process....Pages 416-422
On the bandit problem....Pages 423-434
Existence and uniqueness for stochastic differential equations....Pages 435-446
On the solution and the moments of linear systems with randomly disturbed parameters....Pages 447-455
Some exact results on stability and growth of linear parameter excited stochastic systems....Pages 456-471
A variational inequality for a partially observed stopping time problem....Pages 472-480
Equations du filtrage non lineaire pour des processus a deux indices....Pages 481-489
Minimum covariance, minimax and minimum energy linear estimators....Pages 490-495
Non linear filtering for the system with general noise....Pages 496-509
Filtering of a diffusion process with poisson-type observation....Pages 510-518
On weak closures of convex and solid sets of probability measures....Pages 519-526
Non L1-bounded martingales....Pages 527-538
On the definition and detection of structural change....Pages 539-553
Exact filtering in exponential families: Discrete time....Pages 554-558
Lower estimation error bounds for Gauss-Poisson processes....Pages 559-565
Sur L'Approximation D'Un Processus De Transport Par Une Diffusion....Pages 566-579
Resolution of measurability problems in discrete — time stochastic control....Pages 580-587
Optimal non-explosive control of a non constrained diffusion and behaviour when the discount vanishes....Pages 588-597
Sequential estimation of the solution of an integral equation in filtering theory....Pages 598-605
Causal and non-anticipating solutions of stochastic equations....Pages 606-615

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Content:
Front Matter....Pages -
White noise models in non-linear filtering and control....Pages 1-16
Optimal impulsive control theory....Pages 17-41
An introduction to duality in random mechanics....Pages 42-60
Linear stochastic it? equations in Hilbert space....Pages 61-84
Martingale methods in stochastic control....Pages 85-117
A geometric approach to linear control and estimation....Pages 118-141
The martingale calculus and applications....Pages 142-155
Interaction between stochastic differential equations and partial differential equations....Pages 156-171
Approximation of solutions to differential equations with random inputs by diffusion processes....Pages 172-193
Optimal conditions and sufficient statistics for controlled jump processes....Pages 194-208
Stochastic filtering theory: A discussion of concepts, methods, and results....Pages 209-226
Introduction to the theory of optimal stopping....Pages 227-250
Weak martingales associated with a two parameter jump process....Pages 251-263
Stochastic stagewise Stackleberg strategies for linear quadratic systems....Pages 264-276
Some remarks concerning attainable sets of stochastic optimal control systems....Pages 277-284
Potential theory in optimal stopping and alternatinc processes....Pages 285-293
Adaptive control of Markov chains....Pages 294-296
Solution of the limited risk problem without rank conditions....Pages 297-302
The parameterization of rational transferfunction linear systems....Pages 303-310
A stochastic model for the electrical conduction in non homogeneous layers....Pages 311-319
Policy improvement algorithm for continuous time Markov decision processes with switching costs....Pages 320-331
An algebro-geometric approach to estimation and stochastic control for linear pure delay time systems....Pages 332-343
A non-linear martingale problem....Pages 344-361
Pathwise construction of random variables and function space integrals....Pages 362-372
Non-gaussianity and non-linearity in electroencephalographic time series....Pages 373-386
Canonical form and local characteristics of semimartingales....Pages 387-400
On identification and the geometry of the space of linear systems....Pages 401-415
A numerical comparison of non-linear with linear prediction for the transformed Ornstein-Uhlenbeck process....Pages 416-422
On the bandit problem....Pages 423-434
Existence and uniqueness for stochastic differential equations....Pages 435-446
On the solution and the moments of linear systems with randomly disturbed parameters....Pages 447-455
Some exact results on stability and growth of linear parameter excited stochastic systems....Pages 456-471
A variational inequality for a partially observed stopping time problem....Pages 472-480
Equations du filtrage non lineaire pour des processus a deux indices....Pages 481-489
Minimum covariance, minimax and minimum energy linear estimators....Pages 490-495
Non linear filtering for the system with general noise....Pages 496-509
Filtering of a diffusion process with poisson-type observation....Pages 510-518
On weak closures of convex and solid sets of probability measures....Pages 519-526
Non L1-bounded martingales....Pages 527-538
On the definition and detection of structural change....Pages 539-553
Exact filtering in exponential families: Discrete time....Pages 554-558
Lower estimation error bounds for Gauss-Poisson processes....Pages 559-565
Sur L'Approximation D'Un Processus De Transport Par Une Diffusion....Pages 566-579
Resolution of measurability problems in discrete — time stochastic control....Pages 580-587
Optimal non-explosive control of a non constrained diffusion and behaviour when the discount vanishes....Pages 588-597
Sequential estimation of the solution of an integral equation in filtering theory....Pages 598-605
Causal and non-anticipating solutions of stochastic equations....Pages 606-615
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