Stochastic Control Theory and Stochastic Differential Systems: Proceedings of a Workshop of the „Sonderforschungsbereich 72 der Deutschen Forschungsgemeinschaft an der Universität Bonn“ which took place in January 1979 at Bad Honnef

White noise models in non-linear filtering and control....Pages 1-16 Optimal impulsive control theory....Pages 17-41 An introduction to duality in random mechanics....Pages 42-60 Linear stochastic itô equations in Hilbert space....Pages 61-84 Martingale methods in stochastic control....Pages 85-117 A geometric approach to linear control and estimation....Pages 118-141 The martingale calculus and applications....Pages 142-155 Interaction between stochastic differential equations and partial differential equations....Pages 156-171 Approximation of solutions to differential equations with random inputs by diffusion processes....Pages 172-193 Optimal conditions and sufficient statistics for controlled jump processes....Pages 194-208 Stochastic filtering theory: A discussion of concepts, methods, and results....Pages 209-226 Introduction to the theory of optimal stopping....Pages 227-250 Weak martingales associated with a two parameter jump process....Pages 251-263 Stochastic stagewise Stackleberg strategies for linear quadratic systems....Pages 264-276 Some remarks concerning attainable sets of stochastic optimal control systems....Pages 277-284 Potential theory in optimal stopping and alternatinc processes....Pages 285-293 Adaptive control of Markov chains....Pages 294-296 Solution of the limited risk problem without rank conditions....Pages 297-302 The parameterization of rational transferfunction linear systems....Pages 303-310 A stochastic model for the electrical conduction in non homogeneous layers....Pages 311-319 Policy improvement algorithm for continuous time Markov decision processes with switching costs....Pages 320-331 An algebro-geometric approach to estimation and stochastic control for linear pure delay time systems....Pages 332-343 A non-linear martingale problem....Pages 344-361 Pathwise construction of random variables and function space integrals....Pages 362-372 Non-gaussianity and non-linearity in electroencephalographic time series....Pages 373-386 Canonical form and local characteristics of semimartingales....Pages 387-400 On identification and the geometry of the space of linear systems....Pages 401-415 A numerical comparison of non-linear with linear prediction for the transformed Ornstein-Uhlenbeck process....Pages 416-422 On the bandit problem....Pages 423-434 Existence and uniqueness for stochastic differential equations....Pages 435-446 On the solution and the moments of linear systems with randomly disturbed parameters....Pages 447-455 Some exact results on stability and growth of linear parameter excited stochastic systems....Pages 456-471 A variational inequality for a partially observed stopping time problem....Pages 472-480 Equations du filtrage non lineaire pour des processus a deux indices....Pages 481-489 Minimum covariance, minimax and minimum energy linear estimators....Pages 490-495 Non linear filtering for the system with general noise....Pages 496-509 Filtering of a diffusion process with poisson-type observation....Pages 510-518 On weak closures of convex and solid sets of probability measures....Pages 519-526 Non L 1 -bounded martingales....Pages 527-538 On the definition and detection of structural change....Pages 539-553 Exact filtering in exponential families: Discrete time....Pages 554-558 Lower estimation error bounds for Gauss-Poisson processes....Pages 559-565 Sur L'Approximation D'Un Processus De Transport Par Une Diffusion....Pages 566-579 Resolution of measurability problems in discrete — time stochastic control....Pages 580-587 Optimal non-explosive control of a non constrained diffusion and behaviour when the discount vanishes....Pages 588-597 Sequential estimation of the solution of an integral equation in filtering theory....Pages 598-605 Causal and non-anticipating solutions of stochastic equations....Pages 606-615