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  • Conference proceedings
  • © 1987

Stochastic Differential Systems

Proceedings of the IFIP-WG 7/1 Working Conference Eisenach, GDR, April 6–13, 1986

Editors:

  1. Hans Jürgen Engelbert
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  2. Wolfgang Schmidt
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Part of the book series: Lecture Notes in Control and Information Sciences (LNCIS, volume 96)

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Table of contents (39 papers)

  1. Front Matter

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  2. Long-time fluctuations of weakly interacting diffusions

    • D. A. Dawson, J. Gärtner
    Pages 1-10

  9. White noise calculus for two-parameter filtering

    • G. Kallianpur, H. Korezlioglu
    Pages 61-69

  14. On the distribution of functionals of stochastic fields

    • J. vom Scheidt, B. Fellenberg
    Pages 99-108

  16. Large deviations of linear stochastic differential equations

    • Ludwig Arnold, Wolfgang Kliemann
    Pages 115-151

  18. Time reversal of gap diffusions

    • H. Langer, W. Schenk
    Pages 156-163

  20. On the convergence of diffusions

    • R. Mikulevičius
    Pages 176-186
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About this book

The Fifth IFIP Working Conference on Stochastic Differential Systems continues the traditional line of previous conferences in Kyoto (1976), Vilnjus (1978), Visegrad (1980), and Marseille-Luminy (1984) and focuses on topics of present research in the field of stochastic differential systems. Particular emphasis is laid on infinite-dimensional stochastic problems and random fields, especially on stochastic partial differential equations. The volume includes contributions to the study of stochastic equations and diffusion and their approximation, large deviations and stability of perturbed systems, stochastic control theory and filtering. There are also contributions to the study of some special problems in martingale theory and stochastic calculus. This volume is of special interest to researchers in stochastic processes, random fields, and control theory.
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Keywords

  • Drift
  • Markov
  • calculus
  • chaos
  • control
  • control theory
  • differential games
  • entropy
  • filtering
  • numerical methods
  • operator
  • optimal control
  • partial differential equation
  • stability
  • stochastic processe
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Bibliographic Information

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Access via your institution
Softcover Book USD 109.00
Price excludes VAT (USA)
Learn about institutional subscriptions