摘要:

For Brownian motion B denote by Bδits polygonal approximation corresponding to a partition δ of [0,1]. It is proved that if E(f1|Xt|pdt<∞ for some p>2 then converges to in mean as the mesh |Δ|→0 provided the symmetric (Stratonovich) stochastic integral is determined (in the sense given in [4])

ISSN:0090-9491    

DOI:10.1080/17442508408833316

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

It is shown that the nonlinear filter is a measure-valued Markov process on a finitely additive probability space.

ISSN:0090-9491    

DOI:10.1080/17442508408833317

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

In this paper it is proved that the solution of the stochastic (vector)-differential equation dx(t) = a(t,x(t))dt + b(t,x(t)) dw(t) can be approximated in a weak sense (convergence of distributions) by the Euler method x$sub:n + l$esub:=x$sub:n$esub: + a(t$sub:n$esub:,x$sub:n$esub:)ßt + b(t$sub:n$esub:,x$sub:n$esub:)w$sub:n$esub:, where the w$sub:n$esub:are independent, normally distributed random variables with mean zero and variance ßt, if the coefficients are Lipschitz-continuous outside of a finite set of switching curves and b is a uniformly positive definite matrix.

ISSN:0090-9491    

DOI:10.1080/17442508408833318

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

We consider non-Markov stochastic games with stopping times, so-called Dynkin games. Using the martingale point of view, we show the existence of a saddle-point under general assumptions

ISSN:0090-9491    

DOI:10.1080/17442508408833319

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

We suppose that the observation of a signal process is corrupted by an independent white noise. In a case which is more general than the classical case of semimartingales, we construct the optimal estimate of the signal as a continuous function on the space of observation trajectories. We show that moreover, it is continuous in a certain sense with respect to the a priori law of the signal

ISSN:0090-9491    

DOI:10.1080/17442508408833320

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/1744258408833315

出版商:Gordon and Breach Science Publishers S. A.    

年代:1984

数据来源: Taylor