Stochastic Differential Systems Proceedings of the 2nd Bad Honnef Conference of the SFB 72 of the DFG at the University of Bonn June 28 {u2013} July 2, 1982

Radon-Nikodym derivatives in case of rational spectral densities....Pages 1-15 Differentiation of measures related to stochastic processes....Pages 16-22 Dynkin games....Pages 23-32 An introduction to the stochastic calculus of variations....Pages 33-72 On one-dimensional Markov SDEs....Pages 73-84 Some problems in sequential analysis....Pages 85-93 A stochastic differential equation for Feller's one-dimensional diffusions....Pages 94-101 A result of the iterated logarithm type for a certain class of stochastic processes....Pages 102-108 Approximation of large deviations estimates and escape times and applications to systems with small noise effects....Pages 109-121 On strong solutions of stohastic equations with respect to semimartingales....Pages 122-127 Inverse problems in stochastic Riemannian geometry....Pages 128-134 Some results on likelihood ratios for two-parameter processes....Pages 135-143 Controllability of stochastic systems....Pages 144-154 Solving the Zakai equation by ito's Method....Pages 155-161 Simple and efficient linear and nonlinear filters by regular perturbation methods....Pages 162-167 The non linear filtering equations....Pages 168-178 On robust approximations in nonlinear filtering....Pages 179-186 Smoothing of a diffusion process conditionned at final time....Pages 187-196 First passage times in stochastic models of physical systems and in filtering theory....Pages 197-204 Adaptive stochastic filtering problems — The continuous time case....Pages 205-211 Between the chapters: An editor's note....Pages 212-213 On perturbation methods in stochastic control....Pages 215-228 A control problem in a manifold with nonsmooth boundary....Pages 229-250 Some recent results on the control of partially observable stochastic systems....Pages 251-275 Optimal controls for partially observed stochastic systems using nonstandard analysis....Pages 276-284 Stochastic control with tracking of exogenous parameters....Pages 285-293 Nisio semi-group associated to the control of Markov processes....Pages 294-301 Optimal control of partially observed diffusions via the separation principle....Pages 302-311 A class of singular stochastic control problems....Pages 312-319 Sur l'arret optimal de processus a deux indices reels....Pages 320-328 Duality theory for some stochastic control models....Pages 329-337 On the control of jump processes....Pages 338-344 A partially observed inventory problem....Pages 345-353 On impulsive control with long run average cost criterion....Pages 354-360 Separation theorem for optimal impulse control with discontinuous observations....Pages 361-368 Optimal control based on observations on the boundary....Pages 369-377