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Stochastic Differential Systems

Proceedings of the IFIP-WG 7/1 Working Conference Eisenach, GDR, April 6–13, 1986

  • Conference proceedings
  • © 1987

Overview

Editors:
  1. Hans Jürgen Engelbert
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  2. Wolfgang Schmidt
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Part of the book series: Lecture Notes in Control and Information Sciences (LNCIS, volume 96)

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Table of contents (39 papers)

  1. Derivative free numerical methods for stochastic differential equations

    • E. Platen
    Pages 187-193

  2. On the number of crossings of a partli reflecting hyperplane by a multidimensional wiener process

    • N. Portenko, S. Yefimenko
    Pages 194-203

  3. On convergence rates of approximate solutions of stochastic equations

    • W. Römisch, A. Wakolbinger
    Pages 204-212

  4. On the joint distribution of the Brownian local and occupation times

    • Paavo Salminen
    Pages 213-217

  5. Large deviations estimates for semilinear stochastic equations

    • W. Smoleński, R. Sztencel, J. Zabczyk
    Pages 218-231

  6. Continuous dependence for ito equations with respect to the drift involving lie brackets

    • C. Varsan
    Pages 232-244

  7. A stochastic maximum principle

    • H. Becher
    Pages 245-252

  8. Line integrals; stable spaces of martingales; compactization problems in optimal control

    • R. J. Chitashvili, M. G. Mania
    Pages 253-271

  9. Partially observable control of diffusions with correlated noise

    • Nicole EL Karoui
    Pages 272-285

  10. Some negative properties of nash-equilibrium strategies in stochastic differential games

    • S. D. Gaidov
    Pages 286-293

  11. Finite dimensional approximation of an optimal control problem for stochastic partial differential equations

    • W. Grecksch
    Pages 294-300

  12. Some examples of the optimal control of diffusions with partial observation and non-gaussian initial condition

    • U. G. Haussmann
    Pages 301-309

  13. A problem of non-zero sum stopping game

    • J. P. Lepeltier, E. Etourneau
    Pages 310-315

  14. Limit theorems of probability theory and optimality in linear controlled systems with quadratic cost

    • Petr Mandl
    Pages 316-329

  15. A minimal fluctuation property for coin tossing and locally symmetric martingales

    • J. M. C. Clark, H. Föllmer
    Pages 331-337

  16. The functional law of the iterated logarithm for Lévy's area process

    • Kurt Helmes, Bruno Remillard, Radu Theodorescu
    Pages 338-345

  17. Ito-Ventzel's formula for semimartingales, asymptotic properties of mle and recursive estimation

    • N. L. Lazrieva, T. A. Toronjadze
    Pages 346-355

  18. Conditions for contiguity

    • F. Liese
    Pages 356-362

  19. Stochastic calculus associated with skorohod's integral

    • D. Nualart, E. Pardoux
    Pages 363-372

  20. Absolute continuity of a semimartin gale with respect to a continuous increasing and adapted process

    • C. Stricker
    Pages 373-380
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Keywords

About this book

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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