Stochastic Differential Systems

Table of Contents

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   Book Overview
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   Chapter 1 On optimal stopping times in operating systems
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   Chapter 2 Semimartingales defined on markov processes
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   Chapter 3 The expected value of perfect information in the optimal evolution of stochastic systems
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   Chapter 4 Some problems of large deviations
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   Chapter 5 On the behaviour of certain functionals of the wiener process and applications to stochastic differential equations
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   Chapter 6 Point processes and system lifetimes
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   Chapter 7 On weak convergence of semimartingales and point processes
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   Chapter 8 Ito formula in banach spaces
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    Chapter 9 General theorems of filtering with point process observations
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    Chapter 10 Existence of partially observable stochastic optimal controls
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    Chapter 11 On the generalization of the fefferman-garsia inequality
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    Chapter 12 Some remarks on the purely nondeterministic property of second order random fields
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    Chapter 13 The Hölder continuity of hilbert space valued stochastic integrals with an application to SPDE
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    Chapter 14 On the first integrals and liouville equations for diffusion processes
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    Chapter 15 An averaging method for the analysis of adaptive systems with small adjustment rate
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    Chapter 16 A-spaces associated with processes. Application to stochastic equations
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    Chapter 17 A martingale approach to first passage problems and a new condition for Wald's identity
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    Chapter 18 A taylor formula for semimartingales solving a stochastic equation
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    Chapter 19 On optimal sensor location in stochastic differential systems and in their deterministic analogues
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    Chapter 20 On first order singular bellman equation
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    Chapter 21 A limit theorem of solutions of stochastic boundary-initial-value problems
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    Chapter 22 Stochastic integration with respect to multiparameter Gaussian processes
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    Chapter 23 On L2 and non-L2 multiple stochastic integration
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    Chapter 24 Optimal stochastic control under reliability constraints
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    Chapter 25 On controlled semi-markov processes with average reward criterion
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    Chapter 26 Likelihood ratios and kalman filtering for random fields