Research Catalog

Title

Applied stochastic analysis : proceedings of a US-French workshop, Rutgers University, New Brunswick, N.J., April 29-May 2, 1991 / J. Karatzas, D. Ocone (eds.).

Publication

Berlin ; New York : Springer-Verlag, [1992], ©1992.

Items in the Library & Off-site

Holdings

Details

Additional Authors

• Karatzas, Ioannis.
• Ocone, D. (Daniel), 1953-

Description

x, 311 pages; 24 cm.

Series Statement

Lecture notes in control and information sciences ; 177

Uniform Title

Lecture notes in control and information sciences ; 177.

Subject

Stochastic analysis > Congresses

Bibliography (note)

• Includes bibliographical references.

Contents

• 1. Estimates of Cycle Times in Stochastic Petri Nets / F. Baccelli and P. Constantopoulos -- 2. On Bellman Equations of Ergodic Control in [actual symbols not reproducible] / A. Bensoussan and J. Frehse -- 3. Some Results on the Filtering Riccati Equation with Random Parameters / Ph. Bougerol -- 4. Multi-Dimensional Finite-Fuel Singular Stochastic Control / D. S. Bridge and S. E. Shreve -- 5. Numerical Methods in Ergodic Optimal Stochastic Control, and Application / F. Campillo and E. Pardoux -- 6. Exponential Triangular Cooling Schedules for Simulated Annealing Algorithms: A Case Study / O. Catoni -- 7. A Numerical Method for a Calculus of Variations Problem with Discontinuous Integrand / P. Dupuis -- 8. Piecewise-Monotone Filtering with Small Observation Noise: Numerical Simulations / W. H. Fleming and Q. Zhang -- 9. Particle Approximation for First-Order Stochastic Partial Differential Equations / P. Florchinger and F. Le Gland.
• 10. An Infinite-Dimensional LP Solution to Control of a Continuous, Monotone Process / A. C. Heinricher and R. H. Stockbridge -- 11. An Optimal Control Depending on the Conditional Density of the Unobserved State / K. L. Helmes and R. W. Rishel -- 12. Partially Observed Control of Markov Processes / O. Hijab -- 13. Numerical Approximation for Nonlinear Filtering and Finite-Time Observers / M. R. James and F. Le Gland -- 14. A Numerical Method for Stochastic Singular Control Problems with Nonadditive Controls / H. J. Kushner and L. F. Martins -- 15. Averaging for Martingale Problems and Stochastic Approximation / T. G. Kurtz -- 16. A Nonlinear Filter with Two Time-Scales / J. Picard -- 17. Bounds for the Price of Options / M. J. Picque, N. El Karoui and R. Viswanathan -- 18. Brownian and Diffusion Decision Processes / J. P. Quadrat -- 19. Kantorovich's Functional in Space of Measures / S. T. Rachev and M. Taksar.
• 20. Partially Parallel Simulated Annealing: Low and High Temperature Approach of the Invariant Measure / A. Trouve -- 21. Martingale Representation for a Class of Processes with Independent Increments, and its Applications / X. X. Xue.

ISBN

• 3540552960 (Springer-Verlag Berlin Heidelberg New York : alk. paper)
• 0387552960 (Springer-Verlag New York Berlin Heidelberg : alk. paper)

LCCN

92008072

OCLC

• 25409046
• ocm25409046

Owning Institutions

Columbia University Libraries