Advances in Filtering and Optimal Stochastic Control

Proceedings of the IFIP-WG 7/1 Working Conference Cocoyoc, Mexico, February 1-6, 1982
Erscheinungsjahr 2014
ISBN: 978-3-662-13531-0
Verlag: Springer

Buch, Englisch, Band 42, 393 Seiten, Format (B × H): 170 mm x 244 mm, Gewicht: 695 g

Reihe: Lecture Notes in Control and Information Sciences

Springer Book Archives

Zielgruppe

Research

Autoren/Hrsg.

Fleming, W. H.

Gorostiza, L. G.

Fachgebiete

• Technische Wissenschaften Elektronik | Nachrichtentechnik Nachrichten- und Kommunikationstechnik Regelungstechnik
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Kybernetik, Systemtheorie, Komplexe Systeme
• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Optimierung

Inhaltsverzeichnis

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 controlproblem 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.