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

Bibliographic Details
Other Authors: Kohlmann, M. (Editor), Vogel, W. (Editor)
Format: eBook
Published: Berlin, Heidelberg Springer Berlin Heidelberg 1979, 1979
Edition:1st ed. 1979
Series:Lecture Notes in Control and Information Sciences
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 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 withlinear prediction for the transformed Ornstein-Uhlenbeck process
  • On the bandit problem
  • 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
  • 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