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Stochastic Differential Systems

Proceedings of the 3rd Bad Honnef Conference June 3–7, 1985

  • Conference proceedings
  • © 1986

Overview

Editors:
  1. Norbert Christopeit
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  2. Kurt Helmes
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  3. Michael Kohlmann
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Part of the book series: Lecture Notes in Control and Information Sciences (LNCIS, volume 78)

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Table of contents (31 papers)

  1. Front Matter

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  2. Some points of interaction between stochastic analysis and quantum theory

    • Sergio Albeverio
    Pages 1-26

  3. On a class of stochastic differential equations which do not satisfy Lipschitz conditions

    • A. V. Balakrishnan
    Pages 27-35

  4. Current results and issues in stochastic control

    • A. Bensoussan
    Pages 36-88

  5. A method for constructing ω- optimal controls in problems with partial observation of the state

    • A. Bensoussan, W. J. Runggaldier
    Pages 89-99

  6. Overload control for SPC telephone exchanges — refined models and stochastic control

    • R. K. Boel, J. H. van Schuppen
    Pages 100-110

  7. Stochastic maximum principle in the problem of optimal absolutely continuous change of measure

    • R. J. Chitashvili
    Pages 111-120

  8. Asymptotic Properties of Least-Squares Estimators in Semimartingale Regression Models

    • N. Chritopeit
    Pages 121-126

  9. A solution to the partially observed control problem of linear systems, with non-quadratic cost

    • Robert Cohen
    Pages 127-136

  10. Stationary control of brownian motion in several dimensions

    • R. Mitchell Cox, Ioannis Karatzas
    Pages 137-139

  11. Control of piecewise-deterministic processes via discrete-time dynamic programming

    • M. H. A. Davis
    Pages 140-150

  12. Reverse time smoothing for point process observations

    • Robert J. Elliott
    Pages 151-158

  13. A finitely additive version of Poincare's recurrence theorem

    • H. Francke, D. Plachky, W. Thomsen
    Pages 159-162

  14. Girsanov and Feynmann-Kac formulas in the discrete stochastic mechanics

    • G. Del Grosso, R. Marra
    Pages 163-170

  15. Existence of optimal markovian controls for degenerate diffusions

    • U. G. Haussmann
    Pages 171-186

  16. On Levy's area process

    • K. Helmes
    Pages 187-194

  17. Central limit theorems and random currents

    • Nobuyuki Ikeda, Yoko Ochi
    Pages 195-205

  18. On girsanov solutions of infinite dimensional SDEs

    • M. Jerschow
    Pages 206-208

  19. Explicit solution of a general consumption/investment problem

    • Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve
    Pages 209-216

  20. Viscosity solutions in partially observed control

    • Michael Kohlmann
    Pages 217-226
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Keywords

Bibliographic Information

  • Book Title: Stochastic Differential Systems

  • Book Subtitle: Proceedings of the 3rd Bad Honnef Conference June 3–7, 1985

  • Editors: Norbert Christopeit, Kurt Helmes, Michael Kohlmann

  • Series Title: Lecture Notes in Control and Information Sciences

  • DOI: https://doi.org/10.1007/BFb0041147

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1986

  • Softcover ISBN: 978-3-540-16228-5Published: 01 February 1986

  • eBook ISBN: 978-3-540-39767-0Published: 11 April 2006

  • Series ISSN: 0170-8643

  • Series E-ISSN: 1610-7411

  • Edition Number: 1

  • Number of Pages: V, 375

  • Number of Illustrations: 1 b/w illustrations

  • Topics: Control, Robotics, Mechatronics

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