Stochastic Theory and Control

1. Front Matter

   Pages I-XVIII

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2. Nonlinear and Stochastic Stability Problems in Gated Radar Range Trackers

   • E. H. Abed, R. E. Gover, A. J. Goldberg, S. I. Wolk

   Pages 1-17

3. Asymptotic Properties and Associated Control Problems of Discrete-Time Singularly Perturbed Markov Chains

   • G. Badowski, G. Yin, Q. Zhang

   Pages 19-34

4. Feedback Designs in Information-Based Control

   • J. Baillieul

   Pages 35-57

5. Ergodic Control Bellman Equation with Neumann Boundary Conditions

   • Alain Bensoussan, Jens Frehse

   Pages 59-71

6. Regime Switching and European Options

   • John Buffington, Robert J. Elliott

   Pages 73-82

7. Equivalence of Two Kinds of Stability for Multi-dimensional ARMA Systems

   • Xianbing Cao, Han-Fu Chen

   Pages 83-96

8. System Identification and Time Series Analysis: Past, Present, and Future

   • Manfred Deistler

   Pages 97-109

9. Max-Plus Stochastic Control

   • Wendell H. Fleming

   Pages 111-119

10. An Optimal Consumption-Investment Problem for Factor-Dependent Models

    • Wendell H. Fleming, Daniel Hernández-Hernández

    Pages 121-130

11. Adaptation of a Real-Time Seizure Detection Algorithm

    • Mark G. Frei, Shane M. Haas, Ivan Osorio

    Pages 131-136

12. Randomization Methods in Optimization and Adaptive Control

    • László Gerencsér, Zsuzsanna Vágó, H. Hjalmarsson

    Pages 137-153

13. Capacity of the Multiple-Input, Multiple-Output Poisson Channel

    • Shane M. Haas, Jeffrey H. Shapiro

    Pages 155-168

14. Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes

    • Floyd B. Hanson, John J. Westman

    Pages 169-183

15. Numerical Methods for Optimal Stopping Using Linear and Non-linear Programming

    • Kurt Helmes

    Pages 185-203

16. The ODE Method and Spectral Theory of Markov Operators

    • Jianyi Huang, Ioannis Kontoyiannis, Sean P. Meyn

    Pages 205-221

17. Sign-Regressor Adaptive Filtering Algorithms Using Averaged Iterates and Observations

    • C. Ion, G. Yin, V. Krishnamurthy

    Pages 223-238

18. Kalman-Type Filters Approach for Some Nonparametric Estimation Problems

    • R. Khasminskii

    Pages 239-250

19. Detection and Estimation in Stochastic Systems with Time-Varying Parameters

    • Tze Leung Lai

    Pages 251-265

20. Asymptotic Normality in Partially Observed Diffusions with Small Noise: Application to FDI

    • François LeGland, Bo Wang

    Pages 267-282

This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.

• Markov
• Markov process
• adaptive control
• algorithm
• algorithms
• calculus
• differential equation
• estimation
• identification
• linear optimization
• mathematics of finance
• nonlinear filtering
• optimal control
• risk sensitive control
• stability
• complexity

• Dep. of Mathematics, University of Kansas, Lawrence, USA

  Bozenna Pasik-Duncan

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