摘要:

Birkhoff's pointwise ergodic theorem with the shift operator over [0,1]11yields a new practical method to compute expectations of functionals of stochastic process. Indeedconverges toasNconverges toward infinity, almost surely. By numerical simulations we will explain the efficiency of this method especially when compared to the classic Monte-Carlo one. It will furthermore be proven that under suitable assumptions a. central limit theorem holds. These assumptions are satisfied in most encountered practical problems. It will precisely be fulfilled whenwith a stopping timeThaving a moment of orderp, p > 2.Moreover, under this assumptions a “weak” law of iterated logarithm applies. Such that:Numerical simulations were processed.

ISSN:0736-2994    

DOI:10.1080/07362999308809307

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

In this paper, we provide a formula for a stabilizing feedback law for control stochastic differential equations. This result extends Artstein's theorem to nonlinear control systems corrupted by noise.

ISSN:0736-2994    

DOI:10.1080/07362999308809308

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

Smoothing for a linear system driven by a marked point process with a rate that depends on the state of the system is considered. A linear combination of the states is observed in additive white Gaussian noise. A smoother that uses estimation and detection is simulated on a computer and its mean squared error (MSE) is compared with the theoretical MSE of the optimal linear smoother and filter. The falso alarm rate is shown to depend strongly on the region of support of the mark distribution. When false alarms are low, the estimation/detection scheme has lower MSE than the optimal linear smoother.

ISSN:0736-2994    

DOI:10.1080/07362999308809309

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

A density–dependent birth and death process in which immigration is permitted only when the number of particles in the system is less than a positive integerkis considered. An explicit expression for the probability generating function of the population size is obtained by using a direct and unconventional approach. Special cases are discussed.

ISSN:0736-2994    

DOI:10.1080/07362999308809310

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

In the paper we show that under some assumptions a multidimensional lt ô equation has a strong solution concentrated in a bounded region the pathwise uniqueness holds.

ISSN:0736-2994    

DOI:10.1080/07362999308809311

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

A singularly perturbed stochastic delay system with wideband noise perturbations is considered in this paper. Asymptotic properties are developed. The basic mathernatical methods which are used are the martingale averaging and the techniques of the theory of weak convergence. It is shown that the limit averaged system is a diffusion process which satisfies a stochastic differential delay equation and that the correct limits hold independent of the way in which these parameters go to their limits.

ISSN:0736-2994    

DOI:10.1080/07362999308809312

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

Using probability arguments a series form for the density function of M/M/I/∞ queue is obtained.

ISSN:0736-2994    

DOI:10.1080/07362999308809313

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

摘要:

A formula for the density Pt(x,y) of the fundamental solution of the parabolic equation associated with the infinite–dimensional Ornstein–Uhlenbeck operator plus a zero order term, is given. This formula is then used to give a proof of the regularity of Pt(x,y).

ISSN:0736-2994    

DOI:10.1080/07362999308809314

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362999308809306

出版商:Marcel Dekker, Inc.    

年代:1993

数据来源: Taylor