ISSN:0090-9491    

DOI:10.1080/17442508208833220

出版商:Gordon and Breach Science Publishers, Inc    

年代:1982

数据来源: Taylor

摘要:

In this work we give some applications of stochastic integration on nuclear spaces to finite dimensional diffusion processes, their flows, to a straightforward proof of the generalized Ito-Stratonovitch formula, regularization of the random fields associated to the diffusion processes as the-valued continuous semimartingales, existence and the uniqueness of the solutions of the stochastic partial differential equations associated to them and the pathwise construction of the Ornstein-Uhlenbeck processes on the space of the tempered distributions.

ISSN:0090-9491    

DOI:10.1080/17442508208833221

出版商:Gordon and Breach Science Publishers, Inc    

年代:1982

数据来源: Taylor

摘要:

A state space representation theory for the impulse control of a quite general class of non-Markov jump processes is developed. Control decisions are based upon observations of past histories of an input jump process and observations of the current state of the corresponding controlled output. A verification theorem establishes that a solution of a system of quasi variational inequalities gives rise naturally to an optimal impulse policy. The proof of optimality relies upon an extended version of the well-known Dynkin formula for Markov processes.

ISSN:0090-9491    

DOI:10.1080/17442508208833222

出版商:Gordon and Breach Science Publishers, Inc    

年代:1982

数据来源: Taylor