摘要:

We consider the Kolmogorov equation in infinite dimensions associated with a nonlinear stochastic evolution equation in some Hilbert space. By introducing a proper class of Gauss-Sobolev spaces, aL2-theory of the Kolmogorov equation is developed. Under some suitable conditions, the existence and uniqueness of solutions of the Cauchy problem and the related elliptic problem are proved in such a Gauss-Sobolev space setting

ISSN:0736-2994    

DOI:10.1080/07362999608809439

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor

摘要:

In this paper, the maximum principle for optimal control of stochastic systems of functional type is obtained. We also derived the adjoint equation which seems to be new in form and proved the existence and uniqueness of the solution of that equation.

ISSN:0736-2994    

DOI:10.1080/07362999608809440

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor

摘要:

In this paper, we define the integral solution of the following nonlinear stochastic

ISSN:0736-2994    

DOI:10.1080/07362999608809441

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor

摘要:

Several results concerning asymptotical mean square stability of equilibria of specific linear stochastic systems are presented and proven. These discrete time systems can be interpreted as numerical solution of stochastic differential equations driven by Wiener noise. Effects of the presented mean square calculus are shown by the Kubo oscillator perturbed by white noise and a simplified system of noisy Brusselator equations

ISSN:0736-2994    

DOI:10.1080/07362999608809442

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor

摘要:

Fuzziness is discussed in the context of fuzzy random variable and a corresponding view of fuzzy martingale and some their properties are given. Fuzzy random variables are introduced as random variables whose values are not reals but fuzzy sets. In this paper we study fuzzy valued random processes in discrete time and with values in a set of fuzzy sets of separable Banach space.

ISSN:0736-2994    

DOI:10.1080/07362999608809443

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor

摘要:

This paper identifies a class of non-stationary vector ARMA processes with one unit characteristic root that can be used to model multiple time series that stablize together. Analysis of ARMA processes with unit roots is generally more difficult because of their probabilistic roperties. In particular, general theory of law of large numbers and central limit theory do not apply to tandardized sums of the realizations of these processes. However, this paper establishes a weak law of large numbers for a useful class of such processes.

ISSN:0736-2994    

DOI:10.1080/07362999608809444

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362999608809438

出版商:Marcel Dekker, Inc.    

年代:1996

数据来源: Taylor