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Stochastic Differential Systems

Proceedings of the 4th Bad Honnef Conference, June, 20–24, 1988

  • Conference proceedings
  • © 1989

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 126)

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Table of contents (29 papers)

  1. Front Matter

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  2. Some results on Newton equation with an additional stochastic force

    • S. Albeverio, A. Hilbert
    Pages 1-13

  3. On dirichlet forms on topological vector spaces: Existence and maximality

    • Sergio Albeverio, Michael Röckner
    Pages 14-31

  4. Nowhere Radon smooth measures, perturbations of Dirichlet forms and singular quadratic forms

    • Sergio Albeverio, Zhiming Ma
    Pages 32-45

  5. A generalization of Ito's formula

    • A. Norbert Alhussaini
    Pages 46-54

  6. General functional limit theorems for semimartingales

    • Svetlana Anulova
    Pages 55-62

  7. Nonlinear filtering for dynamic systems with singular perturbations

    • Alain Bensoussan
    Pages 63-71

  8. On recursive adaptive filtering: Linear case

    • T. Bielecki, B. Gołdys
    Pages 72-81

  9. On the smooth fit boundary conditions in the optimal stopping problem for semimertingales

    • R. J. Chitashvili
    Pages 82-90

  10. Order determination and adaptive control of ARX models using the PLS criterion

    • Michael H. A. Davis, E. Michael Hemerly
    Pages 91-101

  11. Adaptive control of some partially observed linear stochastic systems

    • T. E. Duncan
    Pages 102-114

  12. The adjoint process in stochastic optimal control

    • Robert J. Elliott, Michael Kohlmann
    Pages 115-127

  13. Integration by parts and the Malliavin calculus

    • Robert J. Elliott, Michael Kohlmann
    Pages 128-139

  14. Pathwise stability of random differential equations and the solution of an adaptive control related problem

    • László Gerencsér
    Pages 140-149

  15. Stochastic analysis of intertemporal economic issues

    • Guillermo L. Gómez M
    Pages 150-161

  16. OLS-Estimation and rationality in linear models with forecast feedback

    • Th. Kottmann
    Pages 162-170

  17. Invariance of cones and comparison results for some classes of diffusion processes

    • Pawel Kröger
    Pages 171-182

  18. Performance and robustness in adaptive control of linear stochastic systems

    • P. R. Kumar
    Pages 183-195

  19. Singular perturbations for stochastic control

    • H. J. Kushner
    Pages 196-205

  20. Extended stochastic lyapunov functions and recursive algorithms in linear stochastic systems

    • Tze Leung Lai
    Pages 206-220
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Keywords

About this book

The 4th Bad Honnef Conference on Stochastic Differential Systems highlighted recent advances in the areas of stochastic control and filtering theory as well as stochastic analysis. Special emphasis was put on the use of adaptive methods in stochastic systems analysis and on the theory of random fields, both very active fields of current research. There were six survey lectures, two of them on adaptive control of linear stochastic systems (Kumar, Lai), two on problems in stochastic analysis and random fields, (Surgailis, Wong) and one on singular perturbations in nonlinear filtering (Bensoussan). In addition, 37 research papers pertaining to the main topics of the conference were presented.

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