摘要:

A piecewise-constant process containing a single jump is observed under noise in the context of discrete time. The conditional density and maximum a posteriori (MAP) estimator of the jump time as well as the Bayes detector of the jump itself are determined using the powerful measure transformation approach. The Bayes detector provides a convenient sequential detection rule for practical on-line implementation. An asymptotic result for the distribution of the MAP estimator's estimation error and the corresponding convergence rate are derived. This result provides a reference measure of optimal performance for jump-time estimators in discrete-time stochastic systems that does not depend on the jump time's prior distribution

ISSN:0736-2994    

DOI:10.1080/07362999908809626

出版商:Marcel Dekker, Inc.    

年代:1999

数据来源: Taylor

摘要:

In this paper we provide conditions for asymptotic stability of solutions of stochastic differential equations with constant drift. The main result of the paper extends the results of Khasminskii and Nevelson ([5]), where only the stochastic differential equations with recurrent solutions were studied

ISSN:0736-2994    

DOI:10.1080/07362999908809627

出版商:Marcel Dekker, Inc.    

年代:1999

数据来源: Taylor

摘要:

For the stochastic viability problem of the formwhereK, Fare nonconvex-valued mapsgis a single-valued functionWis a standard Wiener process, we establish the existence of solutions under the assumption thatFandgpossess Lipschitz property and satisfy the tangential condition introduced by J Aubin and G Da Prato

ISSN:0736-2994    

DOI:10.1080/07362999908809628

出版商:Marcel Dekker, Inc.    

年代:1999

数据来源: Taylor

摘要:

We consider stochastic partial differential equations of divergence and nondivergence forms with nonsmooth coefficients. We show that there exists a constantPo>2 such that ifp∈ [2,po), then there exists a unique solution in some stochastic Banach spaceAs a consequence, we obtain the Holder continuity of the solution. The improvement of the integrability from 2 topallows us to make use of some embedding theorem for-spaces. And since we do not require the continuity of the coefficients, our result can be applied in the study of certain nonlinear SPDEs

ISSN:0736-2994    

DOI:10.1080/07362999908809629

出版商:Marcel Dekker, Inc.    

年代:1999

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362999908809615

出版商:Marcel Dekker, Inc.    

年代:1999

数据来源: Taylor