11. |
Weak and strong solutions of stochastic differential equations |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 171-191
Jacod Jean,
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ISSN:0090-9491
DOI:10.1080/17442508008833143
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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12. |
Stochastic differential equations with jump reflection at the boundary† |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 193-201
Protter Philip,
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PDF (269KB)
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摘要:
A unique solution is shown to exist of a stochastic differential equation where the solution is subject to random kicks whenever it reaches or crosses a pre-selected boundary. The driving terms are arbitrary semimartingales, and the solutions are shown not to have explosions, even with essentially no restrictions on the stochastic kicking process.
ISSN:0090-9491
DOI:10.1080/17442508008833144
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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13. |
Some limit theorems for simple point processes (a martingale approach) |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 203-216
YU. M. Kabanov,
R. SH Liptser,
A. N Shiryaev,
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ISSN:0090-9491
DOI:10.1080/17442508008833145
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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14. |
A strong law of large numbers for local martingales |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 217-228
R.SH Liptser,
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PDF (370KB)
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ISSN:0090-9491
DOI:10.1080/17442508008833146
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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15. |
The variational principle and stochastic optimal control |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 229-241
Robert J. Elliott,
Kohlmann Michael,
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摘要:
Using a non-convex minimization result of Ekeland it is shown that an “almost optimal” control almost surely minimizes the conditional expectation of the Hamiltonian of the stochastic system, when the expectation is taken with respect to the observed ff-field
ISSN:0090-9491
DOI:10.1080/17442508008833147
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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16. |
A new comparison theorem for solutions of stochastic differential equations |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 245-249
G.L O'brien,
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PDF (142KB)
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摘要:
LetZ1(t) andZ2(t) be solutions of two stochastic differential equations. ThenZ1(t)≦Z2(t) for allt⪋0 a.s. provided certain relations involving the coefficients and intial conditions of the equations hold. the diffusion coefficients are not required toi be the same for both equtions
ISSN:0090-9491
DOI:10.1080/17442508008833148
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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17. |
Representation of gaussian processes equivalent to a gaussian martingalet† |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 251-266
Leda D. minkova,
Dimitar I. Hadžiev,
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摘要:
This paper states that a Gaussian process Y with mean 0 is equivalent to a Gaussian martingale starting from 0 if and only if Y is a semi-martingale with Gaussian martingale part and Gaussian “clrift” of a particular kind. We also obtain a theorem of Girsanov type tor Gaussian martingales and a criterion for the equivalence mentioned above in more convenient terms. Our results extend those of M. Hitsuda [8] concerning equivalence to a Wiener process
ISSN:0090-9491
DOI:10.1080/17442508008833149
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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18. |
Rate of convergence of an approximate solution of stochastic differential equations† |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 267-276
Luis G. Gorostiza,
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摘要:
A rete of convergence for the Wong and Zakai approximation of solutions of stochastic differential equations is obtained, based on an approximation of Browniam Motion by Transport processes
ISSN:0090-9491
DOI:10.1080/17442508008833150
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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19. |
Stochastic integrals for gaussian random functions |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 277-289
Ognian B. Enchev,
Jordan M. Stoyanov,
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摘要:
A construction of stochastic integrals Jl,, f dX is given where Fand X are random processes. Conditions of martingale type forXand nonanticipating of f with respect toXare not assumed. We suppose that f;,Xare Gaussian processes, all other conditions are expressed in terms of the covariance functions off andX.
ISSN:0090-9491
DOI:10.1080/17442508008833151
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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20. |
Rate of convergence of uniform transport processes to brownian motion and application to stochastic integrals |
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Stochastics,
Volume 3,
Issue 1-4,
1980,
Page 291-303
Luis G. gorostiza,
Richard J. Griego,
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PDF (330KB)
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摘要:
A rate of convergence of a sequence of uniform transport processes to Brownian motion is derived, and a correspondmg rate for the Wong and Zakai approximation of stochastic integrals is given
ISSN:0090-9491
DOI:10.1080/17442508008833152
出版商:Taylor & Francis Group
年代:1980
数据来源: Taylor
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