Stochastic Differential and Difference Equations

by Imre Csiszar, Gy. Michaletzky, Gy Michaletzky

Overview

Periodically Correlated Solutions to a Class of Stochastic Difference Equations.- On Nonlinear SDE'S whose Densities Evolve in a Finite-Dimensional Family.- Composition of Skeletons and Support Theorems.- Invariant Measure for a Wave Equation on a Riemannian Manifold.- Ergodic Distributed Control for Parameter Dependent Stochastic Semilinear Systems.- Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation Masatoshi Fukushima.- Rate of Convergence of Moments of Spall's SPSA Method.- General Setting for Stochastic Processes Associated with Quantum Fields.- On a Class of Semilinear Stochastic Partial Differential Equations.- Parallel Numerical Solution of a Class of Volterra Integro-Differential Equations.- On the Laws of the Oseledets Spaces of Linear Stochastic Differential Equations.- On Stationarity of Additive Bilinear State-space Representation of Time Series.- On Convergence of Approximations of Ito-Volterra Equations.- Non-isotropic Ornstein-Uhlenbeck Process and White Noise Analysis.- Stochastic Processes with Independent Increments on a Lie Group and their Selfsimilar Properties.- Optimal Damping of Forced Oscillations Discrete-time Systems by Output Feedback.- Forecast of Lévy's Brownian Motion as the Observation Domain Undergoes Deformation.- A Maximal Inequality for the Skorohod Integral.- On the Kinematics of Stochastic Mechanics.- Stochastic Equations in Formal Mappings.- On Fisher's Information Matrix of an ARMA Process.- Statistical Analysis of Nonlinear and NonGaussian Time Series.- Bilinear Stochastic Systems with Long Range Dependence in Continuous Time.- On Support Theorems for Stochastic Nonlinear Partial Differential Equations.- Excitation and Performance in Continuous-time Stochastic Adaptive LQ-control.- Invariant Measures for Diffusion Processes in Conuclear Spaces.- Degree Theory on Wiener Space and an Application to a Class of SPDEs.- On the Interacting Measure-Valued Branching Processes.

Product Details

ISBN-13:	9780817639716
Publisher:	Birkhauser Verlag
Publication date:	08/19/1997
Series:	Progress in Systems and Control Theory Series , #23
Pages:	353
Product dimensions:	6.69(w) x 9.84(h) x (d)

Table of Contents

Periodically Correlated Solutions to a Class of Shastic Difference Equations.- On Nonlinear SDE’S whose Densities Evolve in a Finite—Dimensional Family.- Composition of Skeletons and Support Theorems.- Invariant Measure for a Wave Equation on a Riemannian Manifold.- Ergodic Distributed Control for Parameter Dependent Shastic Semilinear Systems.- Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation Masatoshi Fukushima.- Rate of Convergence of Moments of Spall’s SPSA Method.- General Setting for Shastic Processes Associated with Quantum Fields.- On a Class of Semilinear Shastic Partial Differential Equations.- Parallel Numerical Solution of a Class of Volterra Integro—Differential Equations.- On the Laws of the Oseledets Spaces of Linear Shastic Differential Equations.- On Stationarity of Additive Bilinear State-space Representation of Time Series.- On Convergence of Approximations of Ito—Volterra Equations.- Non-isotropic Ornstein-Uhlenbeck Process and White Noise Analysis.- Shastic Processes with Independent Increments on a Lie Group and their Selfsimilar Properties.- Optimal Damping of Forced Oscillations Discrete-time Systems by Output Feedback.- Forecast of Lévy’s Brownian Motion as the Observation Domain Undergoes Deformation.- A Maximal Inequality for the Skorohod Integral.- On the Kinematics of Shastic Mechanics.- Shastic Equations in Formal Mappings.- On Fisher’s Information Matrix of an ARMA Process.- Statistical Analysis of Nonlinear and NonGaussian Time Series.- Bilinear Shastic Systems with Long Range Dependence in Continuous Time.- On Support Theorems for Shastic Nonlinear Partial Differential Equations.- Excitation and Performance in Continuous-time Shastic Adaptive LQ-control.- Invariant Measures forDiffusion Processes in Conuclear Spaces.- Degree Theory on Wiener Space and an Application to a Class of SPDEs.- On the Interacting Measure-Valued Branching Processes.