Nonlinear filtering and stochastic control : proceedings of the 3rd 1981 session of the Centro internazionale matematico estivo (C.I.M.E.), held at Cortona, July 1-10, 1981

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Nonlinear filtering and stochastic control : proceedings of the 3rd 1981 session of the Centro internazionale matematico estivo (C.I.M.E.), held at Cortona, July 1-10, 1981

edited by S.K. Mitter and A. Moro

（Lecture notes in mathematics, 972）

Springer-Verlag, 1982, c1983

  • : Berlin
  • : New York

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注記

"Subseries : Fondazione C.I.M.E., Firenze."

Includes bibliographies

内容説明・目次

目次

  • Lectures on stochastic control.- Stochastic non linear filtering equations and semimartingales.- Stochastic partial differential equations connected with non-linear filtering.- Lectures on nonlinear filtering and stochastic control.- Equations of non-linear filtering
  • and application to stochastic control with partial observation.- On approximation methods for nonlinear filtering.- On weak convergence to random processes with boundary conditions.- How to discretize stochastic differential equations.

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