摘要:

Wentzell Obtained a Large Deviation Principle for Markov Processes with Lévy Generatiors. In this Paper the Lower Estimates On Large Deviations are Obtained Under Weaker Assumptions than Wentzell's.

ISSN:0090-9491    

DOI:10.1080/17442508808833519

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

Dans un problème de filtrage ou l'observation est a valeurs dans une variete riemanniene compacte, on approche le filtre par une fonction des observations prises a des temps discrets, de pash. On montre quil y a convegence en moyenne quadratique, d'ordre de grandeur

ISSN:0090-9491    

DOI:10.1080/17442508808833520

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

The purpose of this paper is to establish the necessary conditions for optimality of a controlled stochastic differential system without differentiability assumptions on the drift. We use an approximation argument in order to obtain a sequence of smooth control problems, and we apply Ekeland's variational principle to derive the associated adjoint processes. Passing at the Limit with respect to the stable convergence, we obtain a weak adjoint process and the inequality between Hamiltonians. This result is a generalisation of Kushner's maximum principle

ISSN:0090-9491    

DOI:10.1080/17442508808833521

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

In this paper we construct a solution of the optimal stopping problem for discrete two-parameter stochastic processes, with respect to three particular families of stopping points, for example, the family {Rstopping point,Z1≤R≤Z2} withZ1,Z2being two stopping points, such thatZ1≤Z2.

ISSN:0090-9491    

DOI:10.1080/17442508808833522

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

We consider the asymptotic behavior of the solutions of a stochastic linear differential equation driven by a finite states Markov process. We consider the sample path Lyapunov exponent λ and the p-moment Lyapunov exponents g(p) for positive p. We derive relations between X and g{p\ which are extensions to our situation of results of Arnold [1] in a different context. Using a Lyapunov function approach, an exact expression forg(2) and estimates for g(p) are obtained, thus leading to upper and lower bounds for λ

ISSN:0090-9491    

DOI:10.1080/17442508808833523

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

M. I. Gordin proved a central limit theorem for some strictly stationary strongly mixing random sequences without the usual assumption of finite second moments. In this note we show that in that theorem, his assumption of a mixing rate (for the strong mixing condition) cannot be altogether omitted

ISSN:0090-9491    

DOI:10.1080/17442508808833524

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

We develop a theory of second order diffusion processes and associated stochastic differential equations of second order. We show that equations of evolution of the density, mean velocity and momentum flux are a family of first order conservation laws similar to those of continuum mechanics. We verify that the theory is satisfied for a large class of reciprocal Gaussian processes

ISSN:0090-9491    

DOI:10.1080/17442508808833525

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

For regular approximations wnof the Brownian motion wthe solutions of the PDEconverge to the unique solution of the stochastic partial differential equation. The assumptions on the operators A and B are not restrictive including for instance random,A, and admit physically meaningful applications.

ISSN:0090-9491    

DOI:10.1080/17442508808833526

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508808833518

出版商:Gordon and Breach Science Publishers    

年代:1988

数据来源: Taylor