Stochastic Differential Systems: Proceedings of the 4th Bad Honnef Conference, June, 20–24, 1988 (Lecture Notes in Control and Information Sciences, 126)

The 4th Bad Honnef Conference on **Stochastic Differential** **Systems** highlighted recent advances in the areas of stochastic control and filtering theory as well as stochastic analysis. Special emphasis was put on the use of adaptive methods in stochastic systems analysis and on the theory of random fields, both very active fields of current research. There were six survey lectures, two of them on adaptive control of linear stochastic systems (Kumar, Lai), two on problems in stochastic analysis and random fields, (Surgailis, Wong) and one on singular perturbations in nonlinear filtering (Bensoussan). In addition, 37 research papers pertaining to the main topics of the conference were presented. Some results on Newton equation with an additional stochastic force....Pages 1-13 On dirichlet forms on topological vector spaces: Existence and maximality....Pages 14-31 Nowhere Radon smooth measures, perturbations of Dirichlet forms and singular quadratic forms....Pages 32-45 A generalization of Ito's formula....Pages 46-54 General functional limit theorems for semimartingales....Pages 55-62 Nonlinear filtering for dynamic systems with singular perturbations....Pages 63-71 On recursive adaptive filtering: Linear case....Pages 72-81 On the smooth fit boundary conditions in the optimal stopping problem for semimertingales....Pages 82-90 Order determination and adaptive control of ARX models using the PLS criterion....Pages 91-101 Adaptive control of some partially observed linear stochastic systems....Pages 102-114 The adjoint process in stochastic optimal control....Pages 115-127 Integration by parts and the Malliavin calculus....Pages 128-139 Pathwise stability of random differential equations and the solution of an adaptive control related problem....Pages 140-149 Stochastic analysis of intertemporal economic issues....Pages 150-161 OLS-Estimation and rationality in linear models with forecast feedback....Pages 162-170 Invariance of cones and comparison results for some classes of diffusion processes....Pages 171-182 Performance and robustness in adaptive control of linear stochastic systems....Pages 183-195 Singular perturbations for stochastic control....Pages 196-205 Extended stochastic lyapunov functions and recursive algorithms in linear stochastic systems....Pages 206-220 Consistency sets of least squares estimates in stochastic regression models....Pages 221-226 Consistency of estimators in controlled systems....Pages 227-234 Stochastic controllability and stochastic Lyapunov functions with applications to adaptive and nonlinear systems....Pages 235-257 A simple stochastic growth model for filamentary current structures in semiconductor systems....Pages 258-265 The rate of convergence and the asymptotic normality of an estimator in a controlled investment model with time-varying parameters....Pages 266-278 On invariant measures of filtering processes....Pages 279-292 Polygonal fields: A new class of markov fields on the plane....Pages 293-316 Strictly stationary processes with the linear prediction property....Pages 317-328 Multiparameter martingale and Markov process....Pages 329-336 Limit theorems for storage process with the domain of attraction of a stable law....Pages 337-342