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Applied Stochastic Analysis

Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 – May 2, 1991

  • Conference proceedings
  • © 1992

Overview

Editors:
  1. Ioannis Karatzas
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  2. Daniel Ocone
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Part of the book series: Lecture Notes in Control and Information Sciences (LNCIS, volume 177)

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Table of contents (21 papers)

  1. Front Matter

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  2. Estimates of cycle times in stochastic petri nets

    • François Baccelli, Panagiotis Konstantopoulos
    Pages 1-20

  3. On Bellman equations of ergodic control in R n

    • A. Bensoussan, J. Frehse
    Pages 21-29

  4. Some results on the filtering Riccati equation with random parameters

    • Philippe Bougerol
    Pages 30-37

  5. Multi-dimensional finite-fuel singular stochastic control

    • D. S. Bridge, S. E. Shreve
    Pages 38-58

  6. Numerical methods in ergodic optimal stochastic control and application

    • F. Campillo, E. Pardoux
    Pages 59-73

  7. Exponential triangular cooling schedules for simulated annealing algorithms : A case study

    • O. Catoni
    Pages 74-89

  8. A numerical method for a calculus of variations problem with discontinuous integrand

    • Paul Dupuis
    Pages 90-107

  9. Piecewise monotone filtering with small observation noise: Numerical simulations

    • Wendell H. Fleming, Qing Zhang
    Pages 108-120

  10. Particle approximation for first order stochastic partial differential equations

    • Patrick Florchinger, François Le Gland
    Pages 121-133

  11. An infinite-dimensional LP solution to control of a continuous, monotone process

    • Arthur C. Heinricher, Richard H. Stockbridge
    Pages 134-143

  12. An optimal control depending on the conditional density of the unobserved state

    • K. L. Helmes, R. W. Rishel
    Pages 144-150

  13. Partially observed control of Markov processes

    • Omar Hijab
    Pages 151-158

  14. Numerical approximation for nonlinear filtering and finite-time observers

    • Matthew R. James, François LeGland
    Pages 159-175

  15. A numerical method for stochastic singular control problems with nonadditive controls

    • Harold J. Kushner, Luiz F. Martins
    Pages 176-185

  16. Averaging for martingale problems and stochastic approximation

    • Thomas G. Kurtz
    Pages 186-209

  17. A nonlinear filter with two time scales

    • Jean Picard
    Pages 210-223

  18. Bounds for the price of options

    • Monique Jeanblanc-Picque, Nicole El Karoui, Ravi Viswanathan
    Pages 224-237

  19. Brownian and diffusion decision processes

    • J. P. Quadrat
    Pages 238-247

  20. Kantorovich's functionals in space of measures

    • S. T. Rachev, M. Taksar
    Pages 248-261
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About this book

This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.

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