Stochastic Analysis

Stochastic Analysis : Liber Amicorum for Moshe Zakai

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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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