# zbMATH — the first resource for mathematics

## Stochastics

 Short Title: Stochastics Publisher: Gordon and Breach, New York, NY, Taylor and Francis ISSN: 0090-9491 Online: http://www.tandfonline.com/loi/gssr20 Successor: Stochastics and Stochastics Reports Comments: No longer indexed
 Documents Indexed: 372 Publications (1973–1988) References Indexed: 367 Publications with 5,595 References.
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#### Latest Issues

 25, No. 4 (1988) 25, No. 3 (1988) 25, No. 2 (1988) 25, No. 1 (1988) 24, No. 4 (1988) 24, No. 3 (1988) 24, No. 2 (1988) 24, No. 1 (1988) 23, No. 4 (1988) 23, No. 3 (1988) 23, No. 2 (1988) 23, No. 1 (1987) 22 (1987) 21 (1987) 20 (1987) 19 (1986) 18 (1986) 17 (1986) 16 (1986) 15 (1985) 14 (1984/1985) 13 (1984) 12 (1984) 11 (1983/1984) 10 (1983) 9 (1983) 8 (1982/1983) 7 (1982) 6 (1981/1982) 5 (1981) 4 (1980/1981) 3 (1979/1980) 2 (1976/1979) 1 (1973-1975)
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#### Authors

 9 Kushner, Harold J. 6 Borkar, Vivek Shripad 5 Gyöngy, István 5 Huang, Hai 4 Beneš, Václav Edvard 4 Bensoussan, Alain 4 Chitashvili, Revaz Ya. 4 Curtain, Ruth Frances 4 Cutland, Nigel J. 4 Da Prato, Giuseppe 4 Jacod, Jean 4 Karatzas, Ioannis 4 Kotelenez, Peter M. 4 Marcus, Steven I. 4 Nualart, David 4 Zeitouni, Ofer 3 Bagchi, Arunabha 3 Bradley, Richard C. jun. 3 Bucy, Richard S. 3 Carverhill, Andrew P. 3 Day, Martin V. 3 Dembo, Amir 3 Elliott, Robert James 3 Gorostiza, Luis G. 3 Haussmann, Ulrich G. 3 Krener, Arthur James 3 Leizarowitz, Arie 3 Makowski, Armand M. 3 Morimoto, Hiroaki 3 Ocone, Daniel L. 3 Pardoux, Etienne 3 Protter, Philip Elliott 3 Stettner, Łukasz 3 Stricker, Christophe 3 Szpirglas, Jacques 3 Tubaro, Luciano 3 Tudor, Constantin 3 Ustunel, Ali Suleyman 3 Vostrikova, Lioudmila 3 Wets, Roger Jean-Baptiste 3 Yushkevich, Aleksandr Adol’fovich 3 Zakai, Moshe 2 Al-Hussaini, Ata N. 2 Arnold, Ludwig 2 Baras, John S. 2 Barlow, Martin T. 2 Başar, Tamer 2 Bashirov, Agamirza E. 2 Bertoin, Jean 2 Björk, Tomas 2 Blankenship, Gilmer L. 2 Chaleyat-Maurel, Mireille 2 Chiang, Tzuu-Shuh 2 Christopeit, Norbert 2 Darling, Richard W. R. 2 Davis, Mark H. A. 2 Dozzi, Markus 2 Duncan, Tyrone E. 2 Engelbert, Hans Jürgen 2 Ershov, M. P. 2 Fleming, Wendell Helms 2 Gorni, Gianluca 2 Grimmett, Geoffrey R. 2 Hazewinkel, Michiel 2 Heunis, Andrew J. 2 Hwang, Chii-Ruey 2 Iannelli, Mimmo 2 Ichikawa, Akira 2 Jacka, Saul D. 2 Kennedy, Douglas P. 2 Kohlmann, Michael 2 Krylov, Nicolaĭ Vladimirovich 2 Kunita, Hiroshi 2 Lebedev, V. A. 2 Lenglart, Erik 2 Lepeltier, Jean-Pierre 2 Lions, Pierre-Louis 2 Liptser, Robert 2 Mackevičius, Vigirdas 2 Mania, M. G. 2 Mazziotto, Gerald 2 Melnikov, Aleksander Viktorovich 2 Michel, Dominique 2 Mitter, Sanjoy K. 2 Newman, Charles Michael 2 Orey, Steven 2 Pelkowitz, Lionel 2 Pinsky, Mark Allan 2 Pontier, Monique 2 Rockafellar, Ralph Tyrrell 2 Rodriguez-Canabal, J. 2 Sheu, Shuenn-Jyi 2 Shiryaev, Al’bert Nikolaevich 2 Shreve, Steven E. 2 Stefanov, Valeri T. 2 Stuck, B. W. 2 Toronyadze, T. A. 2 Walrand, Jean C. 2 Wihstutz, Volker 2 Willsky, Alan Steven ...and 239 more Authors
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#### Fields

 330 Probability theory and stochastic processes (60-XX) 122 Systems theory; control (93-XX) 56 Statistics (62-XX) 32 Calculus of variations and optimal control; optimization (49-XX) 21 Operations research, mathematical programming (90-XX) 16 Ordinary differential equations (34-XX) 13 Global analysis, analysis on manifolds (58-XX) 11 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Partial differential equations (35-XX) 7 Measure and integration (28-XX) 5 Real functions (26-XX) 5 Dynamical systems and ergodic theory (37-XX) 5 Operator theory (47-XX) 5 Numerical analysis (65-XX) 4 Mathematical logic and foundations (03-XX) 3 Statistical mechanics, structure of matter (82-XX) 3 Information and communication theory, circuits (94-XX) 2 Nonassociative rings and algebras (17-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 2 Computer science (68-XX) 2 Biology and other natural sciences (92-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Potential theory (31-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Approximations and expansions (41-XX) 1 Functional analysis (46-XX) 1 Mechanics of particles and systems (70-XX) 1 Mechanics of deformable solids (74-XX)

#### Citations contained in zbMATH Open

312 Publications have been cited 3,780 times in 3,098 Documents Cited by Year
Stochastic partial differential equations and filtering of diffusion processes. Zbl 0424.60067
Pardoux, E.
1979
Large deviations from the McKean-Vlasov limit for weakly interacting diffusions. Zbl 0613.60021
Dawson, Donald A.; Gärtner, Jürgen
1987
A strong law of large numbers for local martingales. Zbl 0435.60037
Liptser, R. Sh.
1980
Some solvable stochastic control problems. Zbl 0451.93068
Benes, V. E.; Shepp, L. A.; Witsenhausen, H. S.
1980
Exact finite-dimensional filters for certain diffusions with nonlinear drift. Zbl 0458.60030
Benes, V. E.
1981
Brownian models of open queueing networks with homogeneous customer populations. Zbl 0632.60095
Harrison, J. M.; Williams, R. J.
1987
Estimation of the coefficients of a diffusion from discrete observations. Zbl 0626.62085
Dacunha-Castelle, D.; Florens-Zmirou, D.
1986
Regularity of solutions of linear stochastic equations in Hilbert spaces. Zbl 0634.60053
da Prato, Guiseppe; Kwapień, S.; Zabczyk, J.
1987
A criterion of convergence of measure-valued processes: Application to measure branching processes. Zbl 0598.60088
Roelly-Coppoletta, Sylvie
1986
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
1987
Stochastic quasigradient methods and their application to system optimization. Zbl 0512.90079
Ermoliev, Yuri
1983
Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions. Zbl 0516.60072
Bensoussan, A.
1983
Malliavin’s calculus and stochastic integral representations of functionals of diffusion processes. Zbl 0542.60055
Ocone, Daniel
1984
On stochastics equations with respect to semimartingales. II. Ito formula in Banach spaces. Zbl 0481.60060
Gyoengy, I.; Krylov, N. V.
1982
Modeling and approximation of stochastic differential equations driven by semimartingales. Zbl 0456.60064
Marcus, Steven I.
1981
On stochastic equations with respect to semimartingales. III. Zbl 0495.60067
Gyongy, I.
1982
On stochastic equations with respect to semimartingales I. Zbl 0439.60061
Gyöngy, I.; Krylov, N. V.
1980
Semilinear stochastic evolution equations: Boundedness, stability and invariant measures. Zbl 0538.60068
Ichikawa, Akira
1984
Nonnegative Ricci curvature and the Brownian coupling property. Zbl 0584.58045
Kendall, Wilfried S.
1986
A submartingale type inequality with applications to stochastic evolution equations. Zbl 0495.60066
Kotelenez, Peter
1982
The minimax approach to stochastic programming and an illustrative application. Zbl 0616.90046
Dupačová, Jitka
1987
The Laplace and the stationary phase methods on Wiener space. (Méthode de Laplace et de la phase stationnaire sur l’espace de Wiener.) Zbl 0666.60026
Ben Arous, Gérard
1988
On processes of Ornstein-Uhlenbeck type in Hilbert space. Zbl 0622.60072
Chojnowska-Michalik, Anna
1987
Flows of stochastic dynamical systems: Ergodic theory. Zbl 0536.58019
Carverhill, Andrew
1985
Equations du filtrage non linéaire de la prediction et du lissage. Zbl 0491.93062
Pardoux, E.
1982
Le jeu de Dynkin en theorie generale sans l’hypothèse de Mokobodski. Zbl 0541.60041
Lepeltier, J. P.; Maingueneau, M. A.
1984
On the exponential exit law in the small parameter exit problem. Zbl 0504.60032
Day, Martin V.
1983
Asymptotic normality of prediction error estimators for approximate system models. Zbl 0437.93044
Ljung, Lennart; Caines, Peter E.
1979
Ergodic theory and a local occupation time for measure-valued critical branching Brownian motion. Zbl 0608.60077
Iscoe, I.
1986
Optimal control of piecewise deterministic Markov process. Zbl 0566.93074
Vermes, D.
1985
A convergence result for stochastic partial differential equations. Zbl 0653.60049
Brzeźniak, Z.; Capiński, M.; Flandoli, F.
1988
On unique ergodicity for degenerate diffusions. Zbl 0617.60076
Arnold, Ludwig; Kliemann, Wolfgang
1987
On the approximation of stochastic partial differential equations. I. Zbl 0669.60058
Gyöngy, I.
1988
Optimal control and nonlinear filtering for nondegenerate diffusion processes. Zbl 0493.93047
Fleming, Wendell H.; Mitter, Sanjoy K.
1982
On backward stochastic differential equations. Zbl 0533.60073
Kunita, Hiroshi
1982
The partial Malliavin calculus and its application to nonlinear filtering. Zbl 0567.60046
Kusuoka, S.; Stroock, D.
1984
On the interchange of subdifferentiation and conditional expectation for convex functionals. Zbl 0487.49006
Rockafellar, R. T.; Wets, R. J. B.
1982
Estimation and control in discounted stochastic dynamic programming. Zbl 0621.90092
Schäl, Manfred
1987
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
1986
On the integral representation of functionals of Ito processes. Zbl 0427.60056
Haussmann, U. G.
1979
Solving stochastic programs with simple recourse. Zbl 0584.90067
Wets, Roger J.-B.
1983
Recent progress on the small parameter exit problem. Zbl 0612.60067
Day, Martin V.
1987
Stochastic approximation algorithms for parallel and distributed processing. Zbl 0643.62055
Kushner, H. J.; Yin, G.
1987
Finite dimensional optimal filters for a class of Ito-processes with jumping parameters. Zbl 0443.60038
Björk, T.
1980
Les processus de Dirichlet en tant qu’espace de Banach. (Dirichlet processes as Banach spaces). Zbl 0602.60069
Bertoin, Jean
1986
Singular control problems in bounded intervals. Zbl 0628.49017
Sun, Min
1987
Small random perturbations of Peano phenomena. Zbl 0487.60050
Bafico, R.; Baldi, P.
1982
Qualitative behaviour of stochastic delay equations with a bounded memory. Zbl 0539.60061
Scheutzow, M.
1984
Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038
Yor, Marc
1979
Generalized multiple stochastic integrals and the representation of Wiener functionals. Zbl 0641.60062
Nualart, David; Zakai, Moshe
1988
Des resultats de non existence de filtre de dimension finie. Zbl 0536.60054
Chaleyat-Maurel, Mireille; Michel, Dominique
1984
Strong solutions of stochastic differential equations with boundary conditions. Zbl 0479.60062
Chitashvili, R. J.; Lazrieva, N. L.
1981
Parameter estimation in continuous-time stochastic processes. Zbl 0499.62076
Borkar, Vivek; Bagchi, Arunabha
1982
On stochastic programming. II: Dynamic problems under risk. Zbl 0653.90054
Dempster, M. A. H.
1988
One-dimensional stochastic differential equations involving a singular increasing process. Zbl 0543.60065
Barlow, M. T.; Perkins, E.
1984
On Lie algebras and finite dimensional filtering. Zbl 0509.93058
Hazewinkel, Michiel; Marcus, Steven I.
1982
Optimal stopping of a piecewise-deterministic Markov process. Zbl 0611.60039
Gugerli, U. S.
1986
A maximum a posteriori estimator for trajectories of diffusion processes. Zbl 0612.60041
Zeitouni, O.; Dembo, A.
1987
A maximal inequality for stochastic convolution integrals on Hilbert spaces and space-time regularity of linear stochastic partial differential equations. Zbl 0622.60065
Kotelenez, Peter
1987
Dynkin games and martingale methods. Zbl 0569.60050
Morimoto, Hiroaki
1984
Résolution trajectorielle et analyse numérique des équations différentielles stochastiques. Zbl 0512.60041
Talay, Denis
1983
Lyapunov exponents of nilpotent Itô systems. Zbl 0654.60043
Pinsky, M. A.; Wihstutz, Volker
1988
An asymptotically efficient difference formula for solving stochastic differential equations. Zbl 0618.60053
Newton, Nigel J.
1986
Some pairwise independent sequences for which the central limit theorem fails. Zbl 0645.60027
Janson, Svante
1988
On existence and uniqueness of solution of stochastic differential equations with heredity. Zbl 0568.60062
Rodkina, A. E.
1984
Probability maximizing approach to optimal stopping and its application to a disorder problem. Zbl 0432.60051
Bojdecki, Tomasz
1979
A note on a comparison theorem for equations with different diffusions. Zbl 0487.60048
Gal’cuk, L. I.; Davis, M. H. A.
1982
Reciprocal diffusions and stochastic differential equations of second order. Zbl 0653.60048
Krener, Arthur J.
1988
Stochastic equations and Krylov’s estimates for semimartingales. Zbl 0539.60059
Mel’nikov, A. V.
1983
A new comparison theorem for solutions of stochastic differential equations. Zbl 0428.60070
O’Brien, G. L.
1980
Some results on linear stochastic differential equations in Hilbert spaces. Zbl 0475.60041
Da Prato, G.; Iannelli, M.; Tubaro, L.
1982
On the fixed-interval smoothing problem. Zbl 0485.60043
Wall, Joseph E. jun.; Willsky, Alan S.; Sandell, Nils R. jun.
1981
Généralisation d’un lemme de S. Nakao et applications. (Generalizations of a lemma of S. Nakao and applications). Zbl 0637.60059
Ouknine, Youssef
1988
An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions. Zbl 0657.62099
Zeitouni, O.; Dembo, A.
1988
A robust discrete state approximation to the optimal nonlinear filter for a diffusion. Zbl 0421.60054
Kushner, Harold J.
1979
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
1980
A viability approach to the Skorohod problem. Zbl 0601.60059
Frankowska, Halina
1985
Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets. Zbl 0614.60023
Dupuis, Paul
1987
A conditionally almost linear filtering problem with non-Gaussian initial condition. Zbl 0641.60050
Haussmann, U. G.; Pardoux, E.
1988
Approximations for chance-constrained programming problems. Zbl 0536.90067
Salinetti, G.
1983
The exit distributions for small random perturbations of dynamical systems with a repulsive type stationary point. Zbl 0541.60073
Eizenberg, Alexander
1984
Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process. Zbl 0582.60053
Lenhart, Suzanne; Liao, Yu-Chung
1985
Quasi-least-squares estimation in semimartingale regression models. Zbl 0586.62137
Christopeit, Norbert
1986
Weak and strong solutions of stochastic differential equations. Zbl 0434.60061
Jacod, Jean
1980
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1980
Strong envelopes of stochastic processes and a penalty method. Zbl 0467.60046
Stettner, L.; Zabczyk, J.
1981
Existence for a class of stochastic parabolic variational inequalities. Zbl 0467.60060
Rascanu, A.
1981
Finite dimensional filter systems in discrete time. Zbl 0471.60052
Sawitzki, Günther
1981
Multiple integral expansions for nonlinear filtering. Zbl 0517.60046
Ocone, Daniel
1983
Bounds on the value of information in uncertain decision problems. II. Zbl 0525.90002
Hausch, D. B.; Ziemba, W. T.
1983
Filtering formulae for partially observed linear systems with non- Gaussian initial conditions. Zbl 0561.93059
Makowski, Armand M.
1986
On the moments of a multiple Wiener-Ito integral and the space induced by the polynomials of the integral. Zbl 0669.60052
Nualart, D.; Ustunel, A. S.; Zakai, M.
1988
Skew Brownian motion and a one dimensional stochastic differential equation. Zbl 0657.60075
Barlow, M. T.
1988
On the concept of excitation in least squares identification and adaptive control. Zbl 0595.60048
Lai, Tze Leung; Wei, Ching Zong
1986
Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044
Jacod, Jean
1980
Rate of convergence of uniform transport processes to Brownian motion and application to stochastic integrals. Zbl 0444.60025
Gorostiza, Luis G.; Griego, Richard J.
1980
New results on the innovations problem for non-linear filtering. Zbl 0453.60046
Allinger, Deborah F.; Mitter, Sanjoy K.
1981
Absolute stability of a stochastic evolution equation. Zbl 0531.93065
Ichikawa, Akira
1983
Deterministic and stochastic optimization problems of Bolza type in discrete time. Zbl 0534.49022
Rockafellar, R. T.; Wets, R. J.-B.
1983
On a stochastic process determined by the conditional expectation and the conditional variance. Zbl 0542.60043
Plucińska, Agnieszka
1983
The Laplace and the stationary phase methods on Wiener space. (Méthode de Laplace et de la phase stationnaire sur l’espace de Wiener.) Zbl 0666.60026
Ben Arous, Gérard
1988
A convergence result for stochastic partial differential equations. Zbl 0653.60049
Brzeźniak, Z.; Capiński, M.; Flandoli, F.
1988
On the approximation of stochastic partial differential equations. I. Zbl 0669.60058
Gyöngy, I.
1988
Generalized multiple stochastic integrals and the representation of Wiener functionals. Zbl 0641.60062
Nualart, David; Zakai, Moshe
1988
On stochastic programming. II: Dynamic problems under risk. Zbl 0653.90054
Dempster, M. A. H.
1988
Lyapunov exponents of nilpotent Itô systems. Zbl 0654.60043
Pinsky, M. A.; Wihstutz, Volker
1988
Some pairwise independent sequences for which the central limit theorem fails. Zbl 0645.60027
Janson, Svante
1988
Reciprocal diffusions and stochastic differential equations of second order. Zbl 0653.60048
Krener, Arthur J.
1988
Généralisation d’un lemme de S. Nakao et applications. (Generalizations of a lemma of S. Nakao and applications). Zbl 0637.60059
Ouknine, Youssef
1988
An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions. Zbl 0657.62099
Zeitouni, O.; Dembo, A.
1988
A conditionally almost linear filtering problem with non-Gaussian initial condition. Zbl 0641.60050
Haussmann, U. G.; Pardoux, E.
1988
On the moments of a multiple Wiener-Ito integral and the space induced by the polynomials of the integral. Zbl 0669.60052
Nualart, D.; Ustunel, A. S.; Zakai, M.
1988
Skew Brownian motion and a one dimensional stochastic differential equation. Zbl 0657.60075
Barlow, M. T.
1988
Necessary conditions for optimality for a diffusion with a non-smooth drift. Zbl 0651.93077
Mezerdi, Brahim
1988
On the approximation of stochastic differential equations. Zbl 0635.60071
Gyöngy, I.
1988
Semi-discretization of stochastic partial differential equations on $$R^ d$$ by a finite-element technique. Zbl 0641.60051
Germani, A.; Piccioni, M.
1988
On the weak convergence of likelihood ratio processes of general statistical parametric models. Zbl 0643.60029
Vostrikova, L.
1988
Stochastic integration for operator valued processes on Hilbert spaces and on nuclear spaces. Zbl 0649.60065
Korezlioglu, Hayri; Martias, Claude
1988
Controlled diffusions in a random medium. Zbl 0666.93131
Bensoussan, A.; Blankenship, G.
1988
On stochastic evolution equations driven by continuous semimartingales. Zbl 0638.60073
Tudor, Constantin
1988
Large deviations for the empirical field of Curie-Weiss models. Zbl 0657.60040
Orey, Steven
1988
Limit laws for the intersection local time of stable processes in $${\mathbb{R}}^ 2$$. Zbl 0636.60079
Rosen, J.
1988
On the two-armed bandit problem with continuous time parameter and discounted rewards. Zbl 0643.90096
Yushkevich, A. A.
1988
On linear filtering under dependent wide-band noise. Zbl 0645.60047
Bashirov, A. E.
1988
Adaptive control of linear delay time systems. Zbl 0647.93045
Duncan, T. E.; Pasik-Duncan, B.
1988
Rate of growth of the coalescent set in a coalescing stochastic flow. Zbl 0648.60073
Darling, R. W. R.
1988
Some generalizations of Wentzell’s lower estimates on large deviations. Zbl 0651.60033
Mikami, Toshio
1988
Extension of the Itô calculus via the Malliavin calculus. Zbl 0641.60063
Ustunel, A. S.
1988
Nonlinear filtering and large deviations: A PDE-control theoretic approach. Zbl 0642.93059
James, M. R.; Baras, J. S.
1988
On the variation of the difference of singular components in the Skorokhod problem and on stochastic differential systems in a half-space. Zbl 0648.60055
Shashiashvili, M. A.
1988
On stochastic filtering approximations of estimation problems for systems with uncertainty. Zbl 0633.60060
Kurzanskii, A. B.
1988
An extension of a result of Kahane using Brownian local times of intersection. Zbl 0645.60086
Mountford, T. S.
1988
Une évaluation de la distance entre les lois d’une semimartingale et d’un processus à accroissements indépendants. (An evaluation of the distance between the laws of a semi-martingale and of a process with independent increments). Zbl 0673.60003
Jacod, Jean; Mano, Pascal
1988
On the local time of the multiparameter Wiener process and the asymptotic behaviour of an associated integral. Zbl 0674.60053
Dozzi, Markus
1988
On almost sure optimization for stochastic control systems. Zbl 0685.93078
Leizarowitz, Arie
1988
An extension of the Ventcel-Freidlin large deviation principle. Zbl 0695.60035
Cutland, Nigel J.
1988
On a theorem of Gordin. Zbl 0657.60056
1988
Large deviation of some infinite-dimensional Markov processes. Zbl 0637.60036
Chiang, Tzuu-Shuh; Sheu, Shuenn-Jyi
1988
A class of solvable nonlinear filters. Zbl 0641.93062
Arede, T.
1988
Asymptotic properties of prediction error estimators in approximate system identification. Zbl 0648.60048
Heunis, A. J.
1988
Approximation d’un filtre avec observation sur une variété compacte. (Approximation of a filter with observation on a compact manifold). Zbl 0649.60048
Pontier, Monique
1988
On stopping points in the plane that lie on a unique optional increasing path. Zbl 0653.60036
Dalang, Robert C.
1988
Stochastic functional differential equations modelling materials with selective recall. Zbl 0668.60055
Marcus, Moshe; Mizel, Victor J.
1988
A linear filtering problem using Radon transform. Zbl 0669.60048
Takenaka, Shigeo
1988
The distribution of a double stochastic integral with respect to two independent Brownian sheets. Zbl 0669.60051
Juliá, O.; Nualart, D.
1988
Estimates and exact expressions for Lyapunov exponents of stochastic linear differential equations. Zbl 0669.34060
Leizarowitz, Arie
1988
Large deviations from the McKean-Vlasov limit for weakly interacting diffusions. Zbl 0613.60021
Dawson, Donald A.; Gärtner, Jürgen
1987
Brownian models of open queueing networks with homogeneous customer populations. Zbl 0632.60095
Harrison, J. M.; Williams, R. J.
1987
Regularity of solutions of linear stochastic equations in Hilbert spaces. Zbl 0634.60053
da Prato, Guiseppe; Kwapień, S.; Zabczyk, J.
1987
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du&rsquo; Hůů Nguyen; Jeanblanc-Picqué, Monique
1987
The minimax approach to stochastic programming and an illustrative application. Zbl 0616.90046
Dupačová, Jitka
1987
On processes of Ornstein-Uhlenbeck type in Hilbert space. Zbl 0622.60072
Chojnowska-Michalik, Anna
1987
On unique ergodicity for degenerate diffusions. Zbl 0617.60076
Arnold, Ludwig; Kliemann, Wolfgang
1987
Estimation and control in discounted stochastic dynamic programming. Zbl 0621.90092
Schäl, Manfred
1987
Recent progress on the small parameter exit problem. Zbl 0612.60067
Day, Martin V.
1987
Stochastic approximation algorithms for parallel and distributed processing. Zbl 0643.62055
Kushner, H. J.; Yin, G.
1987
Singular control problems in bounded intervals. Zbl 0628.49017
Sun, Min
1987
A maximum a posteriori estimator for trajectories of diffusion processes. Zbl 0612.60041
Zeitouni, O.; Dembo, A.
1987
A maximal inequality for stochastic convolution integrals on Hilbert spaces and space-time regularity of linear stochastic partial differential equations. Zbl 0622.60065
Kotelenez, Peter
1987
Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets. Zbl 0614.60023
Dupuis, Paul
1987
Bellman inequalities in Markov decision deterministic drift processes. Zbl 0643.90095
Yushkevich, A. A.
1987
A characterization of the Poisson process by conditional moments. Zbl 0605.60067
Bryc, W.
1987
The shadow price of information in continuous time decision problems. Zbl 0628.93076
Back, Kerry; Pliska, Stanley R.
1987
Régularité au bord pour les densités et les densités conditionnelles d’une diffusion réflechie hypoélliptique. (Regularity at boundary for the densities and conditional densities of a hypoelliptic reflected diffusion). Zbl 0637.60092
Cattiaux, Patrick
1987
Stochastic control of two-parameter processes application: The two-armed bandit problem. Zbl 0643.60040
Mazziotto, G.; Millet, A.
1987
Infinite horizon stochastic regulation and tracking with the overtaking criterion. Zbl 0629.93078
Leizarowitz, Arie
1987
Singular stochastic control and optimal stopping. Zbl 0615.60040
1987
Optimal locally absolutely continuous change of measure. Finite set of decisions. I. Zbl 0622.93077
Chitashvili, R. J.; Mania, M. G.
1987
Tracking almost periodic signals under white noise perturbations. Zbl 0624.60073
Halanay, A.; Tudor, C.
1987
Strong solutions of stochastic differential equations involving local times. Zbl 0629.60064
Rutkowski, Marek
1987
Parameter sensitivity in stochastic optimal control. Zbl 0629.93079
Loewen, Philip D.
1987
A remark on the large deviations of an ergodic Markov process. Zbl 0638.60036
Fleming, W. H.; Sheu, S.-J.; Soner, H. M.
1987
Erratum to: A maximum a posteriori estimator for trajectories of diffusion processes. Zbl 0665.60048
Zeitouni, O.; Dembo, A.
1987
On noncooperative n-player cyclic stopping games. Zbl 0618.60040
Morimoto, Hiroaki
1987
The general discrete time disorder problem. Zbl 0618.60041
Pelkowitz, Lionel
1987
Optimal locally absolutely continuous change of measure. Finite set of decisions. II: Optimization problems. Zbl 0639.93065
Chitashvili, R. J.; Mania, M. G.
1987
Stochastic bilinear spectral systems. Zbl 0615.60055
Curtain, Ruth F.; Kotelenez, Peter
1987
The general Markov chain disorder problem. Zbl 0625.60052
Pelkowitz, L.
1987
A theorem on separation of jets and some properties of random sequences. Zbl 0626.60070
Sonin, I. M.
1987
Robustness of estimators in a finitely additive white noise model. Zbl 0633.62090
Hucke, Hans-Peter
1987
Rate of convergence in the Bernstein-von Mises theorem for a class of diffusion processes. Zbl 0644.60047
Mishra, M. N.; Prakasa Rao, B. L. S.
1987
Estimation of the coefficients of a diffusion from discrete observations. Zbl 0626.62085
Dacunha-Castelle, D.; Florens-Zmirou, D.
1986
A criterion of convergence of measure-valued processes: Application to measure branching processes. Zbl 0598.60088
Roelly-Coppoletta, Sylvie
1986
Nonnegative Ricci curvature and the Brownian coupling property. Zbl 0584.58045
Kendall, Wilfried S.
1986
Ergodic theory and a local occupation time for measure-valued critical branching Brownian motion. Zbl 0608.60077
Iscoe, I.
1986
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
1986
Les processus de Dirichlet en tant qu’espace de Banach. (Dirichlet processes as Banach spaces). Zbl 0602.60069
Bertoin, Jean
1986
Optimal stopping of a piecewise-deterministic Markov process. Zbl 0611.60039
Gugerli, U. S.
1986
An asymptotically efficient difference formula for solving stochastic differential equations. Zbl 0618.60053
Newton, Nigel J.
1986
Quasi-least-squares estimation in semimartingale regression models. Zbl 0586.62137
Christopeit, Norbert
1986
Filtering formulae for partially observed linear systems with non- Gaussian initial conditions. Zbl 0561.93059
Makowski, Armand M.
1986
On the concept of excitation in least squares identification and adaptive control. Zbl 0595.60048
Lai, Tze Leung; Wei, Ching Zong
1986
Absolutely continuous and singular stochastic control. Zbl 0564.93068
Lehoczky, J. P.; Shreve, S. E.
1986
A remark on the attainable distributions of controlled diffusions. Zbl 0599.93067
Borkar, Vivek S.
1986
Non-linear flows of stochastic linear delay equations. Zbl 0565.60053
Mohammed, S. E. A.
1986
On ergodic impulsive control problems. Zbl 0569.60049
Stettner, Łukasz
1986
Detecting changes in the AR parameters of a nonstationary ARMA process. Zbl 0598.62105
Moustakides, George V.; Benveniste, Albert
1986
Non-linear smoothing of infinite-dimensional diffusion processes. Zbl 0608.60044
Deuschel, J. D.
1986
Nonlinear filtering with homogenization. Zbl 0563.93065
Bensoussan, A.; Blankenship, G. L.
1986
On the Poisson equation and optimal stopping of ergodic Markov processes. Zbl 0569.60048
Stettner, Łukasz
1986
...and 212 more Documents
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#### Cited by 3,068 Authors

 36 Brzeźniak, Zdzisław 25 Borkar, Vivek Shripad 25 Gyöngy, István 22 Elliott, Robert James 22 Ouknine, Youssef 19 Karatzas, Ioannis 17 Duan, Jinqiao 17 Yin, Gang George 17 Zeitouni, Ofer 16 Wang, Feng-Yu 15 Albeverio, Sergio A. 15 Flandoli, Franco 15 Mezerdi, Brahim 15 Nualart, David 15 Słomiński, Leszek 14 Budhiraja, Amarjit S. 14 Da Prato, Giuseppe 14 Dawson, Donald Andrew 14 Friz, Peter Karl 14 Russo, Francesco 14 Tudor, Constantin 13 Basin, Michael V. 13 Imkeller, Peter 13 Mao, Xuerong 13 Röckner, Michael 13 Zabczyk, Jerzy 12 Gorostiza, Luis G. 12 Liu, Wei 12 Maslowski, Bohdan 12 Ustunel, Ali Suleyman 11 Bagchi, Arunabha 11 Bahlali, Khaled 11 Haurie, Alain B. 11 Hausenblas, Erika 11 Krylov, Nicolaĭ Vladimirovich 11 Rascanu, Aurel 11 Yau, Stephen Shing-Toung 11 Yuan, Chenggui 10 Liu, Meng 10 Manna, Utpal 10 Marcus, Steven I. 10 Morimoto, Hiroaki 10 Pardoux, Etienne 10 Stettner, Łukasz 10 Tudor, Ciprian A. 9 Chow, Pao-Liu 9 Dembo, Amir 9 Dufour, François 9 Hernández-Lerma, Onésimo 9 Kotelenez, Peter M. 9 Ocone, Daniel L. 9 Razafimandimby, Paul André 9 Roelly, Sylvie 9 Scheutzow, Michael K. R. 9 Thieullen, Michèle 9 Wang, Ke 9 Zakai, Moshe 9 Zhang, Tusheng S. 8 Bakhtin, Yuri Yu. 8 Bao, Jianhai 8 Bensoussan, Alain 8 Chaleyat-Maurel, Mireille 8 Delarue, François 8 Gątarek, Dariusz 8 Hjalmarsson, Håkan 8 Kuwada, Kazumasa 8 McKibben, Mark Anthony 8 Méléard, Sylvie 8 Menaldi, Jose-Luis 8 Michel, Dominique 8 Pavlyukevich, Ilya 8 Possamaï, Dylan 8 Priola, Enrico 8 Qiu, Jinniao 8 Sanz-Solé, Marta 8 Taniguchi, Takeshi 7 Ben Arous, Gérard 7 Bojdecki, Tomasz 7 Borisov, Andrei V. 7 Bryc, Włodzimierz 7 Calderon-Alvarez, Dario 7 Cattiaux, Patrick 7 Crisan, Dan O. 7 Day, Martin V. 7 De Angelis, Tiziano 7 Del Moral, Pierre 7 Deuschel, Jean-Dominique 7 Djehiche, Boualem 7 Ekström, Erik 7 Engelbert, Hans Jürgen 7 Feng, Shui 7 Ferrari, Giorgio 7 Florchinger, Patrick 7 Govindan, T. E. 7 Jiang, Daqing 7 Kallianpur, Gopinath 7 Kifer, Yuri 7 Lacker, Daniel 7 Menoukeu Pamen, Olivier 7 Nikeghbali, Ashkan ...and 2,968 more Authors
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#### Cited in 400 Journals

 252 Stochastic Processes and their Applications 132 Probability Theory and Related Fields 122 Stochastic Analysis and Applications 114 Stochastics 85 Systems & Control Letters 77 The Annals of Probability 76 Applied Mathematics and Optimization 73 Journal of Mathematical Analysis and Applications 68 The Annals of Applied Probability 66 Automatica 63 Statistics & Probability Letters 58 Journal of Functional Analysis 52 Stochastics and Stochastics Reports 48 Journal of Optimization Theory and Applications 46 Journal of Theoretical Probability 43 Stochastics and Dynamics 38 Journal of Differential Equations 35 Annals of Operations Research 35 Stochastics 33 Mathematical Programming. Series A. Series B 33 Potential Analysis 28 Acta Applicandae Mathematicae 27 Journal of Statistical Physics 27 SIAM Journal on Control and Optimization 27 Queueing Systems 27 European Journal of Operational Research 25 International Journal of Control 25 Discrete and Continuous Dynamical Systems. Series B 21 Stochastic and Partial Differential Equations. Analysis and Computations 20 Applied Mathematics and Computation 19 Computers & Mathematics with Applications 19 Journal of Multivariate Analysis 18 Journal of Applied Probability 18 Journal of Computational and Applied Mathematics 18 Bernoulli 18 Infinite Dimensional Analysis, Quantum Probability and Related Topics 16 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 15 Journal of Mathematical Physics 15 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 14 Lithuanian Mathematical Journal 14 Transactions of the American Mathematical Society 13 Mathematische Nachrichten 13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 13 Discrete and Continuous Dynamical Systems 13 Journal of Evolution Equations 12 Communications on Pure and Applied Mathematics 12 MCSS. Mathematics of Control, Signals, and Systems 12 Journal of Mathematical Sciences (New York) 12 Random Operators and Stochastic Equations 12 Bulletin des Sciences Mathématiques 12 Electronic Journal of Probability 11 Advances in Applied Probability 11 Journal of the Franklin Institute 11 Mathematics of Operations Research 11 Physica D 11 Journal of Economic Dynamics & Control 11 SIAM Journal on Optimization 11 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 11 Mathematical Methods of Operations Research 10 Communications in Mathematical Physics 10 Journal of Econometrics 10 Journal of Statistical Planning and Inference 10 Automation and Remote Control 10 International Journal of Theoretical and Applied Finance 9 Mathematics and Computers in Simulation 9 Communications in Partial Differential Equations 9 Finance and Stochastics 9 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 9 Nonlinear Dynamics 9 Comptes Rendus. Mathématique. Académie des Sciences, Paris 8 The Annals of Statistics 8 Statistics 8 Mathematical Control and Related Fields 8 Nonlinear Analysis. Theory, Methods & Applications 7 Journal of Mathematical Biology 7 Kybernetika 7 Numerical Functional Analysis and Optimization 7 Insurance Mathematics & Economics 7 Operations Research Letters 7 Acta Mathematicae Applicatae Sinica. English Series 7 Optimization 7 Sequential Analysis 7 Linear Algebra and its Applications 7 NoDEA. Nonlinear Differential Equations and Applications 7 Monte Carlo Methods and Applications 7 Mathematical Problems in Engineering 7 Advances in Difference Equations 7 Frontiers of Mathematics in China 6 International Journal of Systems Science 6 Metrika 6 Journal of Economic Theory 6 Circuits, Systems, and Signal Processing 6 Journal of Applied Mathematics and Stochastic Analysis 6 International Journal of Adaptive Control and Signal Processing 6 Journal de Mathématiques Pures et Appliquées. Neuvième Série 6 Journal of Dynamics and Differential Equations 6 Mathematical Finance 6 Stochastic Models 6 Computational Management Science 5 Ukrainian Mathematical Journal ...and 300 more Journals
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#### Cited in 48 Fields

 2,288 Probability theory and stochastic processes (60-XX) 784 Systems theory; control (93-XX) 413 Partial differential equations (35-XX) 321 Operations research, mathematical programming (90-XX) 319 Statistics (62-XX) 303 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 281 Calculus of variations and optimal control; optimization (49-XX) 196 Ordinary differential equations (34-XX) 190 Numerical analysis (65-XX) 132 Dynamical systems and ergodic theory (37-XX) 127 Biology and other natural sciences (92-XX) 96 Global analysis, analysis on manifolds (58-XX) 88 Operator theory (47-XX) 75 Statistical mechanics, structure of matter (82-XX) 50 Fluid mechanics (76-XX) 45 Functional analysis (46-XX) 32 Quantum theory (81-XX) 28 Computer science (68-XX) 26 Measure and integration (28-XX) 23 Information and communication theory, circuits (94-XX) 17 Integral equations (45-XX) 17 Differential geometry (53-XX) 16 Mechanics of particles and systems (70-XX) 15 Nonassociative rings and algebras (17-XX) 13 Approximations and expansions (41-XX) 12 Geophysics (86-XX) 10 Linear and multilinear algebra; matrix theory (15-XX) 10 Potential theory (31-XX) 10 Difference and functional equations (39-XX) 9 Mechanics of deformable solids (74-XX) 7 Mathematical logic and foundations (03-XX) 7 Combinatorics (05-XX) 6 Convex and discrete geometry (52-XX) 5 Functions of a complex variable (30-XX) 5 Several complex variables and analytic spaces (32-XX) 5 Classical thermodynamics, heat transfer (80-XX) 4 Topological groups, Lie groups (22-XX) 4 General topology (54-XX) 3 Real functions (26-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 2 History and biography (01-XX) 2 Associative rings and algebras (16-XX) 2 Group theory and generalizations (20-XX) 2 Integral transforms, operational calculus (44-XX) 2 Manifolds and cell complexes (57-XX) 2 Optics, electromagnetic theory (78-XX) 1 Algebraic geometry (14-XX) 1 Abstract harmonic analysis (43-XX)