摘要:

Let (Xt)t>=0 denote the measure-valued critical branching Brownian motion on Rdwith initial state being Lebesgue measure. A strong ergodic theorem is proved for (Xt)t>=0when d>=3, while a weak ergodic theorem is proved for d = 2. Also a weak local occupation time (an analogue of the local time for Brownian motion) is shown to exist in dimensions d=1,2 and 3.

ISSN:0090-9491    

DOI:10.1080/17442508608833409

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

A stochastic control problem with finite-fuel constraint, of the type studied by Beneš, Shepp and Witsenhausen (1980), is solved explicitly. It is shown to be reducible to “simpler” stochastic optimization problems, such as optimal stopping and singular control for Brownian motion with unlimited fuel.

ISSN:0090-9491    

DOI:10.1080/17442508608833410

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

Recursive estimation algorithms are presented for counting processes that have an intensity process which is linear in the parameter. Strong consistency and asymptotic normality of the estimators generated by the algorithms are proved.

ISSN:0090-9491    

DOI:10.1080/17442508608833411

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

In this paper, we consider a filtering problem where the signalXtsatisfies a slightly nonlinear stochastic differential equation and we want to obtain estimates ofXt. To this end, we decompose the nonlinearity with two techniques—a deterministic one and a stochastic one—and this leads us to two sequences of estimates which can be computed by solving finite dimensional equations. We want to compare their performances: we solve this problem in most cases if we restrict ourselves to sufficiently small times t and we give conditions which permit to conclude also for larger times

ISSN:0090-9491    

DOI:10.1080/17442508608833412

出版商:Gordon and Breach Science Publishers, Inc    

年代:1986

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508608833413

出版商:Gordon and Breach Science Publishers    

年代:1986

数据来源: Taylor