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Applied Stochastic Analysis

Applied Stochastic Analysis


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About the Book

This volume contains 22 articles based on papers presented at a workshop on applied stochastic analysis held at Imperial College, London, in April 1989. They concern applications of stochastic analysis to a variety of applied problems centred around optimization of dynamic systems under uncertainty. Topics covered include characterization and approximation for stochastic system models, problems in stochastic control theory, optimization of systems modelled by piecewise deterministic Markov processes, properties of stochastic models in finance, and various facets of non-linear filtering theory and system identification. The volume provides an up-to-date view of the increasingly sophisticated interaction between probabilistic techniques and problems arising in these applications.

Table of Contents:
Part 1 Characterization and approximation problems for stochastic system models: Leontief systems, RBVs and RBMs, H.Chen and A.Mandelbaum; a local characterization of reciprocal diffusions, J.M.C.Clark; large deviation estimates for queuing systems, P.Dupuis; functional occupation measures and ergodic cost problems for singularly perturbed stochastic systems, H.J.Kushner; laws of large numbers for random LSC functions, R.J.-B.Wets. Part 2 Stochastic control theory: the separation principle for a Bayesian adaptive control problem with no strict-sense optimal law, V.E.Benes et al; stochastic maximum principle for systems with partial information and application to the separation principle, A.Bensoussan; on stochastic "bang-bang" control for linear diffusions with point process observations, N.Christopeit and K.Helmes; anticipative LQG control,II, M.H.A.Davis; piecewise linear stochastic control with partial observations, G.B.Di Masi and W.J.Runggaldier; optimal control of diffusions with small observation noise, J.G.Haussmann and Q.Zhang; a free boundary problem related to singular stochastic control, S.E.Shreve and H.M.Soner. Part 3 Piecewise deterministic process: optimal control of piecewise deterministic Markov processes, M.A.H.Dempster; optimal capital expenditure - a perturbation method, H.Huang. Part 4 Financial models: certainty equivalence in the continuous-time portfolio-cum-saving model, L.Foldes; hedging of contingent claims under incomplete information, H.Follmer and M.Schweizer; a control theorist's view of asset pricing, S.E.Shreve. Part 5 Filtering, estimation and identification: nonlinear filtering in sonar detection and estimation 1 - probabilities of detection errors, V.E.Benes; Lyapunov exponents for filtering problems, B.Delyon and O.Zeitouni; filtering with two-sided filtrations, R.J.Elliott; invariance principles in parameter estimation, A.J.Heunis; identification of partially observed diffusions with small noise, M.R.James and F.Le Gland.


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Product Details
  • ISBN-13: 9782881247163
  • Publisher: Gordon and Breach
  • Publisher Imprint: Gordon & Breach Science Publishers Ltd
  • Language: English
  • Weight: 930 gr
  • ISBN-10: 2881247164
  • Publisher Date: 01 Jan 1991
  • Binding: Hardback
  • Returnable: N


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