Stochastic Analysis: Liber Amicorum for Moshe Zakai - Couverture rigide

Couverture rigide

ISBN 10 : 0124810055 ISBN 13 : 9780124810051

Editeur : Academic Press Inc, 1991

Synopsis

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.

A propos du livre

Présentation de l'éditeur

Stochastic Analysis: Liber Amicorum for Moshe Zakai focuses on stochastic differential equations, nonlinear filtering, two-parameter martingales, Wiener space analysis, and related topics. The selection first ponders on conformally invariant and reflection positive random fields in two dimensions; real time architectures for the Zakai equation and applications; and quadratic approximation by linear systems controlled from partial observations. Discussions focus on predicted miss, review of basic sequential detection problems, multigrid algorithms for the Zakai equation, invariant test functions and regularity, and reflection positivity. The text then takes a look at a model of stochastic differential equation in Hubert spaces applicable to Navier Stokes equation in dimension 2; wavelets as attractors of random dynamical systems; and Markov properties for certain random fields. The publication examines the anatomy of a low-noise jump filter, nonlinear filtering with small observation noise, and closed form characteristic functions for certain random variables related to Brownian motion. Topics include derivation of characteristic functions for the examples, proof of the theorem, sequential quadratic variation test, asymptotic optimal filters, mean decision time, and asymptotic optimal filters. The selection is a valuable reference for researchers interested in stochastic analysis.

Détails de l'édition

• Éditeur: Academic Press Inc
• Date d'édition: 1991
• Langue: anglais
• ISBN 10: 0124810055
• ISBN 13: 9780124810051
• Reliure: Relié
• Nombre de pages: 552
• Éditeur: Mayer-Wolf Eddy, Etc., Merzbach Ely, Shwartz Adam
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible