|
|
| 1. |
Strong envelopes of stochastic processes and a penalty method† |
| |
Stochastics,
Volume 4,
Issue 4,
1981,
Page 267-280
Ł. Stettner,
J. Zabczyk,
Preview
|
PDF (359KB)
|
|
ISSN:0090-9491
DOI:10.1080/17442508108833167
出版商:Gordon and Breach Science Publishers Inc,
年代:1981
数据来源: Taylor
|
| 2. |
On one-dimensional stochastic differential equations with unit diffusion coefficient. structure of solutions |
| |
Stochastics,
Volume 4,
Issue 4,
1981,
Page 281-315
R. J. Chitashvili,
T. A. Toronjadze,
Preview
|
PDF (1125KB)
|
|
摘要:
The given paper deals with the construction and description of the integral funnel of all solutions of one-dimensional stochastic differential equations with unit diffusion. The notions of weak and strict regularity of the equations under consideration are proved to be equivalent and all the results known up to now on the existence and uniqueness of strict solutions follow from this. Specifically, it implies, that the weak solution with a distribution absolutely continuous with respect to the Wiener measure will automatically be strict. The solution of the innovation problem is shown to follow from this result in the case when the signal is a random variable.
ISSN:0090-9491
DOI:10.1080/17442508108833168
出版商:Gordon and Breach Science Publishers Inc,
年代:1981
数据来源: Taylor
|
| 3. |
Existence of weak solutions for stochastic differential equations with driving semimartingales |
| |
Stochastics,
Volume 4,
Issue 4,
1981,
Page 317-337
Jean Jacod,
Jean Memin,
Preview
|
PDF (747KB)
|
|
摘要:
We consider the following stochastic differential equation, WhereZis a given finite-dimensional semimartingale andKis given predictable process with right-continuous and left-hand limited paths, on some filtered probability space. The coefficient gis assumed to be bounded (an assumption that can be slightly relaxed), and may depend on the whole path ofX, in a predictable way. We prove that this equation admits at least one week solution whenever gs(ω,.) is continous on the Skorokhod space(d=dimension ofX) endowed with the uniform topology
ISSN:0090-9491
DOI:10.1080/17442508108833169
出版商:Gordon and Breach Science Publishers Inc,
年代:1981
数据来源: Taylor
|
| 4. |
New results on the innovations problem for non-linear filtering |
| |
Stochastics,
Volume 4,
Issue 4,
1981,
Page 339-348
Deborah F. Allinger,
Sanjoy K. Mitter,
Preview
|
PDF (254KB)
|
|
摘要:
Consider an observed stochastic process consisting of a signal with additive noise. Assume that the signal has finite energy and that the signal and noise are independent. In this paper we show that under the above assumptions the innovations and observations σ-algebra are equal, thereby proving a long-standing conjecture of Kailath.
ISSN:0090-9491
DOI:10.1080/17442508108833170
出版商:Gordon and Breach Science Publishers Inc,
年代:1981
数据来源: Taylor
|
|
首页
