摘要:

After a review of the development of the Mayne-Fraser two-filter smoother, a first principle argument is used to rederive this smoother. Reversed-time Markov models play a key role in forming a state estimate from future observations. The built-in asymmetry of the Mayne-Fraser smoother is pointed out, and it is shown how this asymmetry may be removed. Additionally, a covariance analysis of the two-filter smoother is provided, and reduced-order smoothers are analyzed.

ISSN:0090-9491    

DOI:10.1080/17442508108833172

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

摘要:

The following kind of stochastic control problem is considerd: to minimizeindependent Wiener processes,X0Gaussian random variable independent ofobserved, with all causal functionsutbounded by unity admissible. By using recent comparison theorems for solutions of stochastic differential equations, it is possible to prove that the physically obvious law:is indeed optimal. The same result is established via the classical and the martingale methods of approach to stochastic control. Various generalizations of the above model are also discussed.

ISSN:0090-9491    

DOI:10.1080/17442508108833173

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

摘要:

Let and be independent Wiener processes, and consider the task of estimating a diffusion solving the stochastic DEdxt=f(xt)dt+dwton the basis of noisy observationsdefined bydyt=xtdt+dbt. This problem is governed by the filtering equationfor the unnormalized conditional densitywithA*the forwarded operatorTheorem: ifthen the fundamental solution of the filtering equation can be written explicity in terms of a small number of statistics satisfying a matrixvector equation. The Lie algebraic interpretation of this result is studied and described. Extensions to many dimensions and applications to optimal stochastic control readily follow.

ISSN:0090-9491    

DOI:10.1080/17442508108833174

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

摘要:

Dans cet article, nous prouvons Pexistence et Punicite du processus de champ moyen par une methode de martingales. Pour ce processus nous caracterisons les mesures invariantes et leur domaine d'attraction. Nous montrons que la limite “thermodynamique” des processus de champ moyen a volume fini est le processus de champ moyen. Enfin nous montrons que les mesures invarianted a volume fini convergent et caracterisons la limite.

ISSN:0090-9491    

DOI:10.1080/17442508108833175

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

摘要:

Under regularity conditions, a finite dimensional filter system exists for a partially observable process if and only if the conditional distributions involved each form an exponential family of distributions. The filter equation can be derived directly from the exponential representations of these families.

ISSN:0090-9491    

DOI:10.1080/17442508108833176

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

摘要:

This paper studies a queue with a finite buffer modelled as a semi-Markov process of consecutive visits to the empty buffer and the full buffer state. The martingale description of queues allows application of the optional sampling theorem to obtain the joint moment generating function of the length of an interval and the number of customers served in an interval. This leads to an explicit solution for an M/M/l/B queue and for a special case of a queue with constant service times. Extensions to priority queues and applications to control of queues are briefly discussed.

ISSN:0090-9491    

DOI:10.1080/17442508108833177

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

摘要:

A class of Hilbert space-valued Markov processes which can be expressed as the mild solution of a linear abstract evolution equation is studied. Sufficient conditions for the generator of the Markov process to be well-defined are given and Kolmogorov's equation and an equation for the characteristic function of the process are derived. The theory is illustrated by examples of parabolic, hyperbolic and delay stochastic differential equations.

ISSN:0090-9491    

DOI:10.1080/17442508108833178

出版商:Gordon and Breach Science Publishers Inc,    

年代:1981

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/1744258108833171

出版商:Gordon and Breach Science Publishers S. A.    

年代:1981

数据来源: Taylor