摘要:

This note contains a generalization of the Trotter product formula to the setting of multiple linear systems of stochastic differential equations. From the result it follows that the solution of a system in Stratonovich form in a Lie algebra lies in the corresponding Lie group

ISSN:0090-9491    

DOI:10.1080/17442508808833483

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

We consider stochastic control systems and study the existence of controls that are almost surely optimal. We demonstrate that, in general, there exist no such optimal controls for finite horizon systems. Two infinite horizon problems are considered the LQG regulation and tracking, and a controlled diffusion with reflections from the boundaries of a bounded domain. In both problems the existence of almost sure optimal controls is proved and they are characterized

ISSN:0090-9491    

DOI:10.1080/17442508808833484

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

This paper considers estimating the state of a discrete-time linear system in which the values of an unobserved disturbance process are only known to lie in certain prescribed sets. By introducing additional stochastic disturbances it is shown that this problem can be approximated to arbitrarily high accuracy by the solution of a Kalman filtering problem

ISSN:0090-9491    

DOI:10.1080/17442508808833485

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

This paper discusses some finite-element schemes for the approximation of the solution of stochastic partial differential equations on Rd. The main application is the design of approximate filters in the general case of correlated noise. The need to interpolate the solution with functions of compact support requires to estimate its norm in a suitable weighted Sobolev space. It turns out that it is possible to control the mean square of the error norm with a suitable modification near the boundary of the most used finite-elements triangulations

ISSN:0090-9491    

DOI:10.1080/17442508808833486

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

In this work, we give a sufficient condition about two continuous semimartingales Xand Yimplying the inequality. As corollaries, we obtain a lemma of S. Nakao and a rather important class of continuous processes which are not semimartingales

ISSN:0090-9491    

DOI:10.1080/17442508808833487

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

In this paper it is shown that a large deviation principle in the sense of Donsker and Varadhan is satisfied by the Ornstein-Uhlenbeck process on C[0,1].

ISSN:0090-9491    

DOI:10.1080/17442508808833488

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

Existence and pathwise uniqueness of mild solutions for stochastic evolution equations driven by continuous semimartingales is proved under monotone coefficients. The convergence of finite differences with respect to the compact convergence in probability is shown

ISSN:0090-9491    

DOI:10.1080/17442508808833489

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

A Maximum A Posteriori (MAP) estimator for trajectories of diffusions observed via a noisy non-linear sensor, defined in [1] for diffusions evolving in "flat" spaces, is extended to arbitrary nondegenerate diffusions in W (subject to some technical constraints). An existence theorem for the MAP trajectories estimator is proved. Finally, relations between the trajectories MAP estimator and the pointwise MAP estimator are demonstrated. Some open problems concerning the issue of finite dimensionality of the MAP trajectories estimator are pointed out

ISSN:0090-9491    

DOI:10.1080/17442508808833490

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

We prove renormalization results for self‐intersections of a stable process of index β in the plane. If 1 < β ≤4÷3 we show that a suitably renormalized version of the intersection local time converges in law to a Brownian motion

ISSN:0090-9491    

DOI:10.1080/17442508808833491

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

We derive a formula for computing explicitly the optimal non-linear filter for a class of problems which admit finite dimensional filters. The result includes all known results of this kind as special cases

ISSN:0090-9491    

DOI:10.1080/17442508808833492

出版商:Gordon and Breach Science Publishers, Inc    

年代:1988

数据来源: Taylor