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Advances in Filtering and Optimal Stochastic Control

  • Kartonierter Einband
  • 393 Seiten
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Inhalt Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients.- Optimal stopping unde... Weiterlesen
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Beschreibung

Inhalt

Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients.- Optimal stopping under partial observations.- Optimal control of partially observed diffusions.- Accurate evaluation of conditional densities in nonlinear filtering.- An efficient approximation scheme for a class of stochastic differential equations.- Stochastic control with noisy observations.- Applications of duality to measure-valued diffusion processes.- Optimal stopping of controlled Markov processes.- Two parameter filtering equations for jump process semimartingales.- Space-time mixing in a branching model.- Logarithmic transformations and stochastic control.- Generalized Gaussian random solutions of certain evolution equations.- Extremal controls for completely observable diffusions.- Lévy's stochastic area formula in higher dimensions.- Asymptotic nonlinear filtering and large deviations.- Representation and approximation of counting processes.- Approximate invariant measures for the asymptotic distributions of differential equations with wide band noise inputs.- Optimal stochastic control of diffusion type processes and Hamilton-Jacobi-Bellman equations.- On reducing the dimension of control problems by diffusion approximation.- Lie algebraic and approximation methods for some nonlinear filtering problems.- Optimal stopping for two-parameter processes.- Stochastic control problem for reflected diffusions in a convex bounded domain.- Nonlinear filtering of diffusion processes a guided tour.- Note on uniqueness of semigroup associated with Bellman operator.- PDE with random coefficients: Asymptotic expansion for the moments.- A discrete time stochastic decision model.- On the approximation of controlled jump diffusion processes.- On optimal stochastic control problem of large systems.- Unnormalized conditional probabilities and optimality for partially observed controlled jump Markov processes.- On normal approximation in Banach spaces.- A class of problems in the optimal control of diffusions with finitely many controls.- A resumé of some of the applications of Malliavin's calculus.- Large deviations.

Produktinformationen

Titel: Advances in Filtering and Optimal Stochastic Control
Untertitel: Proceedings of the IFIP-WG 7/1 Working Conference Cocoyoc, Mexico, February 1-6, 1982
Editor:
EAN: 9783662135310
ISBN: 978-3-662-13531-0
Format: Kartonierter Einband
Herausgeber: Springer-Verlag GmbH
Genre: Elektrotechnik
Anzahl Seiten: 393
Gewicht: 695g
Größe: H244mm x B170mm x T21mm
Jahr: 2014
Auflage: 1982

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