Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991

by Ioannis Karatzas (editor)

Estimates of cycle times in stochastic petri nets.- On Bellman equations of ergodic control in R n .- Some results on the filtering Riccati equation with random parameters.- Multi-dimensional finite-fuel singular stochastic control.- Numerical methods in ergodic optimal stochastic control and application.- Exponential triangular cooling schedules for simulated annealing algorithms : A case study.- A numerical method for a calculus of variations problem with discontinuous integrand.- Piecewise monotone filtering with small observation Numerical simulations.- Particle approximation for first order stochastic partial differential equations.- An infinite-dimensional LP solution to control of a continuous, monotone process.- An optimal control depending on the conditional density of the unobserved state.- Partially observed control of Markov processes.- Numerical approximation for nonlinear filtering and finite-time observers.- A numerical method for stochastic singular control problems with nonadditive controls.- Averaging for martingale problems and stochastic approximation.- A nonlinear filter with two time scales.- Bounds for the price of options.- Brownian and diffusion decision processes.- Kantorovich's functionals in space of measures.- Partially parallel simulated Low and high temperature approach of the invariante measure.- Martingale representation for a class of processes with independent increments and its applications.

328 pages, Paperback

First published June 18, 1992