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Filtering and Control of Random Processes

Proceedings of the E.N.S.T.-C.N.E.T. Colloquium Paris, France, February 23–24, 1983

  • Conference proceedings
  • © 1984

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Editors:
  1. Hayri Korezlioglu
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  2. Gérald Mazziotto
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  3. Jacques Szpirglas
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Part of the book series: Lecture Notes in Control and Information Sciences (LNCIS, volume 61)

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Table of contents (20 papers)

  1. Front Matter

    Download chapter PDF

  2. Projective Markov processes

    • J. Aguilar-Martin
    Pages 1-12

  3. On the stochastic maximum principle for infinite dimensional equations and application to the control of Zakai equation

    • A. Bensoussan
    Pages 13-23

  4. Some comments on control and estimation problems for diffusions in bounded regions

    • René K. Boel
    Pages 24-35

  5. The separation principle for partially observed linear control systems: A general framework

    • N. Christopeit, K. Helmes
    Pages 36-60

  6. Approximations for discrete-time partially observable stochastic control problems

    • Giovanni B. Di Masi, Wolfgang J. Runggaldier
    Pages 61-75

  7. Nonexistence of finite dimensional filters for conditional statistics of the cubic sensor problem

    • M. Hazewinkel, S. I. Marcus, H. J. Sussmann
    Pages 76-103

  8. An extension of the prophet inequality

    • D. P. Kennedy
    Pages 104-110

  9. Martingale representation and nonlinear filtering equation for distribution-valued processes

    • H. Korezlioglu, C. Martias
    Pages 111-137

  10. Jeu de Dynkin avec cout dependant d'une strategie continue

    • J. P. Lepeltier, M. A. Maingueneau
    Pages 138-156

  11. Optimal control of reflected diffusion processes

    • P. L. Lions
    Pages 157-163

  12. On a formula relating the Shannon information to the fisher information for the filtering problem

    • Eddy Mayer-Wolf, Moshe Zakai
    Pages 164-171

  13. Optimal stopping of bi-Markov processes

    • G. Mazziotto
    Pages 172-205

  14. Equations du lissage non lineaire

    • E. Pardoux
    Pages 206-218

  15. Approximation of nonlinear filtering problems and order of convergence

    • Jean Picard
    Pages 219-236

  16. On the weak finite stochastic realization problem

    • G. Picci, J. H. van Schuppen
    Pages 237-242

  17. Controle lineaire sous contrainte avec observation partielle

    • Monique Pontier, Jacques Szpirglas
    Pages 243-259

  18. Quelques remarques sur les semimartingales gaussiennes et le probleme de l'innovation

    • C. Stricker
    Pages 260-276

  19. Sur les proprietes markoviennes du processus de filtrage

    • Jacques Szpirglas
    Pages 277-293

  20. Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications

    • Denis Talay
    Pages 294-313
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