摘要:

This paper deals with linear quadratic optimal control problem when signal and observation noises can be dependent. It is proved the separation principle for such case and it is shown how this separation principle enlarges the well-known duality between control and estimation problems. There are given existence results for three cases of the relations between signal and observation noises. One of them is a well-known independent noises case. Others concern the dependent noises.

ISSN:0090-9491    

DOI:10.1080/17442508608833389

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

The sample non-linearity of the classical Wiener integral as a function of continuous integrands is pointed out. As an application it is shown that the solution of a linear stochastic delay equation is an almost surely non-linear function of the initial trajectory segment.

ISSN:0090-9491    

DOI:10.1080/17442508608833390

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

We obtain the limit theorem for the sequence of stochastic flows generated by the stochastic ordinary differential equations dx/dt = F$sub:n$esub:(t, x, ω)n =l, 2,.... Under some regularity and mixing conditions on the sequence F$sub:n$esub: n = l,2,..., it is shown that the associated flows converge weakly to a Brownian motion in the diffeomorphisms group and that the latter is generated by an Itô's stochastic differential equation. The strong convergence is also established: It covers the approximation theorems on stochastic flows studied by Malliavin. Ikeda Watanabe. Bismut and Shu.

ISSN:0090-9491    

DOI:10.1080/17442508608833391

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508608833388

出版商:Gordon and Breach Science Publishers    

年代:1986

数据来源: Taylor