摘要:

First passage problems for exponenetial class of random processes are discussed

ISSN:0090-9491    

DOI:10.1080/17442508608833425

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

This paper deals with the optimal stopping problem for a class of strong, nonstandard Markov processes the paths of which follow continuous deterministic trajectories but for random jumps at random times. The gain function, defined on the state space, is assumed to be bounded, measurable and, roughly speaking, continuous along the trajectories of the deterministic drift Combining continuous-time deterministic maximization and discrete-time dynamic programming yields a functional operator solving the single-jump problem.

ISSN:0090-9491    

DOI:10.1080/17442508608833426

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

In this paper we characterize the conditionallaw of the ith coordinate of an infinite-dimensional diffusion process with respect to the othersIf the interaction is given by a smooth gradient system of finite range, the conditional probability is determined in a robust form as the law of a stochastic differential equation with smooth and bounded drift and initial measure. Additionally the conditional law is shown to be Lipschitz continuous inwith respect to the Vasserstein metric on C[iX 1]

ISSN:0090-9491    

DOI:10.1080/17442508608833427

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

Estimating the parameters of a diffusio,. we give a measure of the loss of information due to discretization, when the sampling interval is. We emphasize differences that depend on whether σ2is known or unknown.

ISSN:0090-9491    

DOI:10.1080/17442508608833428

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508608833424

出版商:Gordon and Breach Science Publishers    

年代:1986

数据来源: Taylor