摘要:

We prove Girsanov's theorem for continuous orthogonal martingale measures. We then define space-time SDEs, and use Girsanov's theorem to establish a oneto- one correspondence between solutions of two space-time SDEs differing only by a drift coefficient. For such stochastic equations, we give necessary conditions under which the laws of their solutions are absolutely continuous with respect to each other. Using Girsanov's theorem again, we prove additional existence and uniqueness results for space-time SDEs. The same one-to-one correspondence and absolute continuity theorems are also proved for the stochastic heat and wave equations

ISSN:0736-2994    

DOI:10.1080/07362999808809562

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

The unknown performance of a new experiment is to be evaluated and compared with that of an existing one over a finite horizon. The explicit structure of an optimal sequential allocation policy is obtained under pertinent reward/loss functions, when the experiments are characterized by random variables with distributions from the one parameter exponential family.

ISSN:0736-2994    

DOI:10.1080/07362999808809563

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

We establish large increment properties for a Gaussian sequence with stationary increments under global conditions. Limit theorems for partial sums of the sequence with nonpositive correlation functions or the correlation functions on their speed of convergence to zero are proved via estimating a probability inequality on the supremum of Gaussian processes

ISSN:0736-2994    

DOI:10.1080/07362999808809564

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

In this paper we consider the discrete-time LQ-optimal control problem for the class of linear systems with Markovian jump parameters and additivel2-stochastic input. The state-space of the Markov chain is assumed to be a countably infinite set. The controller has access to both the state-variable and jump-variable. It is shown that the optimal control law is characterized by a feedback term plus a term defined by the:l2-stochastic input and Markov chain. An application to the optimal control of a failure prone manufacturing system subject to a random demand for a single type of item is presented.

ISSN:0736-2994    

DOI:10.1080/07362999808809565

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

The suitable notion of trace is introduced in order to relate the multiple integrals in the Ogawa and in the Skorohod sense, and prove the corresponding Hu-Meyer-type formula. It is also established that if the multiple Ogawa integral exists, then the multiple Stratonovich integral also exists and they coincide, the generalization of the known result for the simple case

ISSN:0736-2994    

DOI:10.1080/07362999808809566

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

This article investigates averaging effects associated with a fine-grained boundary. A simple diffusion occurs everywhere except at a large number of small “holes” in the medium, at which an appropriately scaled mixed boundary condition is applied. The scaling considered is fitting for boundary conditions resulting from thin layer approximations in which the layer thickness scales with the diameter of the hole. Probabilistic methods associated with the Feynman-Kac formula are applied to find the limiting behavior, and the perforated domain and complex boundary condition are replaced by a straightforward attenuating term.

ISSN:0736-2994    

DOI:10.1080/07362999808809567

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

Letbe a stochastic matrix defining an irreducible, aperiodic, reversible and positive-recurrent Markov chain. Letbe a partition of the circle into setsSiach consisting of finite union ofarcsAkl. Letftbe a rotation of length t of the circle and denote Lebesgue measure by λ. We generalize and prove for the matrix P a theorem (conjecture) of Joel E. Cohen (n=2), and S. Alpern and S.Kalpazidou (n≥2) asserting that any nxn recurrent stochastic matrix (rij) is given byfor some choice of rotation ft and partition {Si}

ISSN:0736-2994    

DOI:10.1080/07362999808809568

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

A Kalman type system of integral equations is obtained for the linear filtering problem in which the noise generating the signal is a fractional Brownian motion with long-range dependence. The error in applying the usual Kalman filter to this problem is determined explicitly for a simple example

ISSN:0736-2994    

DOI:10.1080/07362999808809569

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

An input-output linear time-varying discrete system with statedependent noise and mean square exponential stable evolution is considered. It is proved that if the norm of the input-output operator is less than γ then a corresponding parametrized by γ Riccati equation has a unique global bounded and stabilizing solution. An application to the estimate of a stability radius is given

ISSN:0736-2994    

DOI:10.1080/07362999808809570

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

Let processesXandYbe two arbitrary solutions of stochastic inclusion of Ito type. A sufficient condition for the stability propertyis given.

ISSN:0736-2994    

DOI:10.1080/07362999808809571

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor