scientific article
From MaRDI portal
Publication:3334692
zbMath0545.60003MaRDI QIDQ3334692
Publication date: 1985
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
random fieldsquadratic variationchange of measureschange of variables formulamultiparameter martingalespredictable processesisometric integrals
Random fields (60G60) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic systems and control (93Exx)
Related Items
Search allocation game ⋮ Uncertainty quantification analysis of the biological Gompertz model subject to random fluctuations in all its parameters ⋮ Some recent results in finitely additive white noise theory ⋮ Measure change estimates for hidden Markov models ⋮ Stochastic complex integrals in a two-dimensional flow ⋮ Patterns and structure in systems governed by linear second-order differential equations ⋮ Trend analysis using nonhomogeneous stochastic diffusion processes. Emission of CO\({}_{2}\); Kyoto protocol in Spain ⋮ Kalman filtering on approximate state-space models ⋮ On the coherence function for stochastic systems ⋮ Mean square solution of Bessel differential equation with uncertainties ⋮ Application of optimal filtering methods for on-line of queueing network states ⋮ Wonham filtering by observations with multiplicative noises ⋮ Optimal channel choice for lossy data flow transmission ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ Finite-dimensional solutions of a modified Zakai equation ⋮ Flow control as a stochastic optimal control problem with incomplete information ⋮ Filters for estimating Markov modulated Poisson processes and image-based tracking ⋮ Cubature of random fields by product-type integration rules ⋮ Optimization of queuing system via stochastic control ⋮ Efficient stochastic sensitivity analysis of discrete event systems ⋮ Risk-sensitive and risk-neutral control for continuous-time hidden Markov models ⋮ Probabilistic models for stochastic elliptic partial differential equations ⋮ Phase space transport and control of escape from a potential well ⋮ New explicit filters and smoothers for diffusions with nonlinear drift and measurements ⋮ Statistical control of control-affine nonlinear systems with nonquadratic cost functions: HJB and verification theorems ⋮ Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems ⋮ Random Airy type differential equations: mean square exact and numerical solutions ⋮ Production and replacement policies for a deteriorating manufacturing system under random demand and quality ⋮ Dynamic credit investment in partially observed markets ⋮ Three parameter gamma-type growth curve, using a stochastic gamma diffusion model: computational statistical aspects and simulation ⋮ A stochastic unknown input realization and filtering technique ⋮ Four finite dimensional (FD) surrogates for continuous random processes ⋮ Credit risk and contagion via self-exciting default intensity ⋮ Random Hermite differential equations: mean square power series solutions and statistical properties ⋮ On solutions to Itô stochastic differential equations ⋮ Solving the random Legendre differential equation: mean square power series solution and its statistical functions ⋮ Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing ⋮ Multiscale estimation of processes related to the fractional Black-Scholes equation ⋮ Smooth Random Functions, Random ODEs, and Gaussian Processes ⋮ On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process ⋮ Optimal state filtering of controllable systems with random structure ⋮ Minimax a posteriori estimation in the hidden Markov models ⋮ Fractional kinetic equations driven by Gaussian or infinitely divisible noise ⋮ Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations ⋮ State Estimation in Partially Observed Stochastic Networks with Queueing Applications ⋮ On the random gamma function: theory and computing ⋮ Martingale Valuation of Cash Flows for Insurance and Interest Models ⋮ Robust parameter estimation for asset price models with Markov modulated volatilities ⋮ On the stochastic differential equations of filtering theory ⋮ A \(\tau\)-power stochastic gamma diffusion process: computational statistical inference and simulation aspects. A real example ⋮ A mean square chain rule and its application in solving the random Chebyshev differential equation ⋮ Solving initial and two-point boundary value linear random differential equations: a mean square approach ⋮ Exit distributions for symmetric Markov processes via Gaussian techniques ⋮ Calibration and estimation of redundant signals ⋮ Trend analysis and computational statistical estimation in a stochastic Rayleigh model: Simulation and application ⋮ ON A STOCHASTIC CAPTURE–RECAPTURE PREDATOR–PREY MODEL ⋮ Random mixed hyperbolic models: numerical analysis and computing ⋮ The Wonham filter under uncertainty: A game-theoretic approach ⋮ Filtering of continuous-time Markov chains ⋮ Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems ⋮ Quadratic forms for Feynman-Kac semigroups ⋮ Random differential operational calculus: theory and applications ⋮ Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals ⋮ Fractional random fields associated with stochastic fractional heat equations ⋮ On some generalization of fractional Brownian motions ⋮ On stable Markov processes ⋮ A stochastic jump inventory model with deteriorating items ⋮ Transient and stationary response statistics of van der Pol oscillators subjected to broad band random excitation ⋮ Gravitational-wave data analysis. Formalism and sample applications: the Gaussian Case ⋮ Gravitational-wave data analysis. Formalism and sample applications: the Gaussian Case ⋮ Finite Horizon Control Problems Under Partial Information ⋮ On a Solvable Diffusion with Time Dependent “Killing” ⋮ Wavelet-vaguelette decomposition of spatiotemporal random fields ⋮ Noise-induced chaos and phase space flux ⋮ Random linear-quadratic mathematical models: Computing explicit solutions and applications ⋮ Filtering of the Markov jump process given the observations of multivariate point process ⋮ The effects of rapid sampling in system identification ⋮ An inverse problem for stochastic differential equations ⋮ On the stochastic differential equations of filtering theory ⋮ Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains ⋮ Unnamed Item ⋮ Defending non-Bayesian learning against adversarial attacks ⋮ Specification of Additional Information for Solving Stochastic Inverse Problems ⋮ Lie algebraic methods in optimal control of stochastic systems with exponential-of-integral cost ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Stochastic dynamic models of response time and accuracy: A foundation primer ⋮ Estimation of regression coefficients in case of differentiable error processes ⋮ ROBUST FILTERING AND DETECTION OF AN INSURANCE MODEL ⋮ The simple pendulum and the periodic LQG control problem
