Stochastic Analysis

Stochastic Analysis : Liber Amicorum for Moshe Zakai

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Description

Published in honour of Moshe Zakai's 65th birthday, these 29 papers reflect his interests and substantial contributions to the field of stochastic processes. Topics include differential equations, nonlinear filtering, two-parameter Martingales, Wiener space analysis and Malliavin calculus. It is intended to present the papers at a conference in Moshe Zakai's honour in June, 1991, at the Technion, Haifa, Israel.
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Product details

  • Hardback | 552 pages
  • Academic Press Inc
  • San Diego, United States
  • English
  • 0124810055
  • 9780124810051

Table of contents

Conformally invariant and reflection positive random fields in two dimensions, S. Albeverio, et al; real time architectures for nonlinear filtering, J.S. Baras; quadratic approximation by linear systems controlled from partial observations, V. Benes; a model of stochastic differential equation in Hilbert space and applications to Navier Stokes equations in dimension 2, A. Bensoussan; wavelets as attractors of random dynamical systems, M.A. Berger; Markov properties for certain random fields, E. Carnal and J.B. Walsh; the anatomy of a low-noise jump filter - part 1, J. Martin and C. Clark; on the value of information in controlled diffusion processes, M.H.A. Davis, et al; orthogonal Martingale representation, R.J. Elliot and H. Follmer; nonlinear filtering with small observation noise - piecewise monotone observations, W.H. Fleming and Q. Zhang; closed form characteristic functions for certain random variables related to Brownian motion, G.J. Foschini and L.A. Shepp; adaptedness and existence of occupation densities for stochastic integral processes in the second Wiener chaos, N.N. Frangos and P. Imkeller; dskeletal theory of filtering, G. Kallianpur; equilibrium in a simplified dynamic, stochastic economy with heterogeneous agents, I. Karatzas, et al; Feyman-Kac formula for a degenerate planar diffusion and an application in stochastic control, I. Karatzas and D.L. Ocone; on the intterior smoothness of harmonic functions for degenerate diffusion processes, N.V.Krylov; the stability and approximation problem in nonlinear filtering theory, H. Kunita; Wong-Zakai corrections, random evolutions, and simulation schemes for SDEs, T.G. Kurtz and P. Protter; nonlinear filtering for singularly perturbed systems, H.J Kushner; smooth o-Fields, P. Malliavin; compositions of large deviation principles and applications, A. Millet, et al; nonlinear transformations of the wiener measure and applications, D. Nualart; finite dimensional approximate filters in the case of high signal-to-noise ratio, E. Pardoux and M.C. Roubaud; a simple proof of uniqueness for Kushner and Zakai equations, B. Rozovskii; ito-wiener expansions of holomorphic functions on the complex wiener space, I. Shigekawa; limits of the Wong-Zakai type with a modified drift term, H.J. Sussmann; Donsker's o-Function in the malliavin calculus, S. Watanabe; implementing boltzmann machines, E. Wong; infinite dimensionality results for MAP estimation, O. Zeitouni. Part contents.
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