Applied stochastic analysis:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York u.a.
Gordon and Breach
1991
|
| Schriftenreihe: | Stochastics monographs
5 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | IX, 571 S. |
| ISBN: | 2881247164 |
Internformat
MARC
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| 245 | 1 | 0 | |a Applied stochastic analysis |c ed. by M. H. A. Davis ... |
| 264 | 1 | |a New York u.a. |b Gordon and Breach |c 1991 | |
| 300 | |a IX, 571 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Stochastics monographs |v 5 | |
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| 650 | 7 | |a Analyse stochastique - Congrès |2 ram | |
| 650 | 7 | |a analyse stochastique |2 inriac | |
| 650 | 7 | |a commande stochastique |2 inriac | |
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| 650 | 7 | |a modèle stochastique |2 inriac | |
| 650 | 7 | |a processus stochastique |2 inriac | |
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Datensatz im Suchindex
| _version_ | 1804118824010645504 |
|---|---|
| adam_text | Contents
Introduction
to the Series
vii
Preface
ix
Characterization and Approximation Problems for
Stochastic System Models
Leontief
Systems, RBVs and RBMs
H. Chen and
A. Mandelbaum
1
A Local Characterization of Reciprocal Diffusions
J.M.C.
Clark
45
Large Deviation Estimates for Queueing Systems
P. Dupuis
61
Functional Occupation Measures and Ergodic Cost Problems for
Singularly Perturbed Stochastic Systems
HJ. Kushner
79
Laws of Large Numbers for Random LSC Functions
R.J.-B. Wets
101
Stochastic Control Theory
The Separation Principle for a Bayesian Adaptive Control
Problem with No Strict-sense Optimal Law
V. E.
Beneš,
I. Karatzas and R. W. Rtihel
121
Stochastic Maximum Principle for Systems with Partial
Information and Application to the Separation Principle
A. Bensoussan
157
On Stochastic Bang-Bang Control for Linear Diffusions
with Point Process Observations
N.
Christopeit and K.
Helmes 173
Anticipative LQG Control,
II
M.H.A.
Davis 205
Piecewise Linear
Stochastic
Control
with Partial Observations
G.
В.
Di
Masi
and W.
J. Runggaldier
215
Optimal Control of Diffusions with Small Observation Noise
U. G.
Haussmann
and Q. Zhang
237
A Free Boundary Problem Related to Singular Stochastic Control
5.
E. Shreve and H.M. Soner
265
Piecewise Deterministic Process
Optimal Control of Piecewise Deterministic Markov Processes
M.A.H. Dempster
303
Optimal Capital Expenditure: a Perturbation Method
H. Huang
327
Financial Models
Certainty Equivalence in the Continuous-time Portfolio-
cum-saving Model
L.
Földes
343
Hedging of Contingent Claims under Incomplete Information
H.
Föllmer
and M.
Schweizer 389
A Control Theorist s View of Asset Pricing
S.E. Shreve
415
Filtering, Estimation and Identification
Nonlinear Filtering in Sonar Detection and Estimation I:
Probabilities of Detection Errors
V.E.
Beneš
447
Lyapunov Exponents for Filtering Problems
B. Delyon and O. Zeitouni
511
Filtering with Two-sided Filtrations
RJ. Elliott
523
Invariance
Principles in Parameter Estimation
AJ. Heunis
537
Identification of Partially Observed Diffusions with Small Noise
M. R. James and
F. Le
Gland
561
Index
569
|
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| classification_tum | MAT 600f |
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Book |
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| genre | (DE-588)1071861417 Konferenzschrift 1989 London gnd-content |
| genre_facet | Konferenzschrift 1989 London |
| id | DE-604.BV004706526 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T16:16:26Z |
| institution | BVB |
| isbn | 2881247164 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002891979 |
| oclc_num | 22765886 |
| open_access_boolean | |
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| owner_facet | DE-91 DE-BY-TUM DE-12 DE-739 DE-29T DE-83 |
| physical | IX, 571 S. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Gordon and Breach |
| record_format | marc |
| series | Stochastics monographs |
| series2 | Stochastics monographs |
| spelling | Applied stochastic analysis ed. by M. H. A. Davis ... New York u.a. Gordon and Breach 1991 IX, 571 S. txt rdacontent n rdamedia nc rdacarrier Stochastics monographs 5 Literaturangaben Analyse stochastique - Congrès Analyse stochastique - Congrès ram analyse stochastique inriac commande stochastique inriac filtrage inriac finance inriac modèle stochastique inriac processus stochastique inriac Stochastic analysis Congresses Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Stochastik (DE-588)4121729-9 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 1989 London gnd-content Stochastische Analysis (DE-588)4132272-1 s DE-604 Stochastik (DE-588)4121729-9 s Statistik (DE-588)4056995-0 s 1\p DE-604 Davis, Mark H. A. 1945-2020 Sonstige (DE-588)120781611 oth Stochastics monographs 5 (DE-604)BV000019799 5 Digitalisierung TU Muenchen application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002891979&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Applied stochastic analysis Stochastics monographs Analyse stochastique - Congrès Analyse stochastique - Congrès ram analyse stochastique inriac commande stochastique inriac filtrage inriac finance inriac modèle stochastique inriac processus stochastique inriac Stochastic analysis Congresses Stochastische Analysis (DE-588)4132272-1 gnd Statistik (DE-588)4056995-0 gnd Stochastik (DE-588)4121729-9 gnd |
| subject_GND | (DE-588)4132272-1 (DE-588)4056995-0 (DE-588)4121729-9 (DE-588)1071861417 |
| title | Applied stochastic analysis |
| title_auth | Applied stochastic analysis |
| title_exact_search | Applied stochastic analysis |
| title_full | Applied stochastic analysis ed. by M. H. A. Davis ... |
| title_fullStr | Applied stochastic analysis ed. by M. H. A. Davis ... |
| title_full_unstemmed | Applied stochastic analysis ed. by M. H. A. Davis ... |
| title_short | Applied stochastic analysis |
| title_sort | applied stochastic analysis |
| topic | Analyse stochastique - Congrès Analyse stochastique - Congrès ram analyse stochastique inriac commande stochastique inriac filtrage inriac finance inriac modèle stochastique inriac processus stochastique inriac Stochastic analysis Congresses Stochastische Analysis (DE-588)4132272-1 gnd Statistik (DE-588)4056995-0 gnd Stochastik (DE-588)4121729-9 gnd |
| topic_facet | Analyse stochastique - Congrès analyse stochastique commande stochastique filtrage finance modèle stochastique processus stochastique Stochastic analysis Congresses Stochastische Analysis Statistik Stochastik Konferenzschrift 1989 London |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002891979&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000019799 |
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