摘要:

A critical spatially homogeneous measure-valued branching process in Rdis studied where the initial state has infinite asymptotic density. In low dimen-dimensions it explodes (locally), but in a critical dimension both effects are exhibited.

ISSN:0736-2994    

DOI:10.1080/07362998608809084

出版商:Marcel Dekker, Inc.    

年代:1986

数据来源: Taylor

摘要:

A Riccati equation of stochastic control theory is studied directly. The equation arises in the synthesis of a linear quadratic regulator problem for systems governed by stochastic partial differential equations of hyperbolic type, with contorl acting on the boundary through Dirichlet of Neumann conditions

ISSN:0736-2994    

DOI:10.1080/07362998608809085

出版商:Marcel Dekker, Inc.    

年代:1986

数据来源: Taylor

摘要:

A difference approximation that is second-order accurate in the time stephis derived for the general Ito stochastic differential equation. The difference equation has the form of a second-order random walk in which the random terms are non-linear combinations of Gaussian random variables. For a wide class of problems, the transition pdf is joint-normal to second order inh; the technique then reduces to a Gaussian random walk, but its application is not limited to problems having a Gaussian solution. A large number of independent sample paths are generated in a Monte Carlo solution algorithm; any statistical function of the solution (e.g., moments or pdf's) can be estimated by ensemble averaging over these paths

ISSN:0736-2994    

DOI:10.1080/07362998608809086

出版商:Marcel Dekker, Inc.    

年代:1986

数据来源: Taylor

摘要:

We consider a stochastic evolution equation with unbounded control and noise operators which can describe parabolic equations with boundary or pointwise control and noise, Associated with this we take an observation process with unbounded operator which may correspond to boundary or pointwise observation. We examine all possible combinations of control, noise and observation. We first solve the filtering problem and then consider quadratic control problems

ISSN:0736-2994    

DOI:10.1080/07362998608809087

出版商:Marcel Dekker, Inc.    

年代:1986

数据来源: Taylor

摘要:

By applying diagonalization transformation, generalized variation of constants formula and theory of differential inequalities,the mean square convergence of solution process of a shingularly perturbed linear stochastic differential system ofItô-type is investigated. Moreover, slow and fast modes decomposition provides an auxiliary decoupled system whose solution processes are incorporated in approximating the solution processes of the original system

ISSN:0736-2994    

DOI:10.1080/07362998608809088

出版商:Marcel Dekker, Inc.    

年代:1986

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362998608809083

出版商:Marcel Dekker, Inc.    

年代:1986

数据来源: Taylor