摘要:

We study the rate of convergence in a limit theorem due to Kabanov-Liptser-Shiryayev. We show how the probabilitiesP(Nt=k) can be computed from the compensator, when it is deterministic.

ISSN:0090-9491    

DOI:10.1080/17442508208833216

出版商:Gordon and Breach Science Publishers Inc,    

年代:1982

数据来源: Taylor

摘要:

We show that the operators Eg(conditional expectation given a σ-field g) and ∂ (subdifferentiation), when applied to a normal convex integrand ƒ commute if the effective domain multifunction Ω→{xεRnf(ω,x)<+∞ isg-measurable.

ISSN:0090-9491    

DOI:10.1080/17442508208833217

出版商:Gordon and Breach Science Publishers Inc,    

年代:1982

数据来源: Taylor

摘要:

We study the robust solutions of nonlinear filtering problemsdX=dW,dY=[X+∈ƒ(X)]dt+dV, where ƒ is a polynomial, and ∈on a parameter. We show that, as ∈→0, the solution has an asymptotic series in powers of ∈, whose coefficients are outputs of finite-dimensional filters. This result had been suggested by Lie-algebraic calculations made by Hazewinkel. The proof given here is rigorous, and does not use Lie algebraic techniques.

ISSN:0090-9491    

DOI:10.1080/17442508208833218

出版商:Gordon and Breach Science Publishers Inc,    

年代:1982

数据来源: Taylor

摘要:

We study the problem of finding the maximum flow through a capacitated network in which the set of capacities is a collection of independent random variables, drawn from some known distribution. We find limit theorems when the underlying graph is either a branching tree or a complete graph. Finally, we discuss the difficulty of the problem of finding the expected maximum flow, using the language of computational complexity, and propose an easy approximate solution to the closely related reliability problem.

ISSN:0090-9491    

DOI:10.1080/17442508208833219

出版商:Gordon and Breach Science Publishers Inc,    

年代:1982

数据来源: Taylor