Stochastic Differential Systems

Radon-Nikodym derivatives in case of rational spectral densities.- Differentiation of measures related to stochastic processes.- Dynkin games.- An introduction to the stochastic calculus of variations.- On one-dimensional Markov SDEs.- Some problems in sequential analysis.- A stochastic differential equation for Feller's one-dimensional diffusions.- A result of the iterated logarithm type for a certain class of stochastic processes.- Approximation of large deviations estimates and escape times and applications to systems with small noise effects.- On strong solutions of stohastic equations with respect to semimartingales.- Inverse problems in stochastic Riemannian geometry.- Some results on likelihood ratios for two-parameter processes.- Controllability of stochastic systems.- Solving the Zakai equation by ito's Method.- Simple and efficient linear and nonlinear filters by regular perturbation methods.- The non linear filtering equations.- On robust approximations in nonlinear filtering.- Smoothing of a diffusion process conditionned at final time.- First passage times in stochastic models of physical systems and in filtering theory.- Adaptive stochastic filtering problems The continuous time case.- Between the chapters: An editor's note.- On perturbation methods in stochastic control.- A control problem in a manifold with nonsmooth boundary.- Some recent results on the control of partially observable stochastic systems.- Optimal controls for partially observed stochastic systems using nonstandard analysis.- Stochastic control with tracking of exogenous parameters.- Nisio semi-group associated to the control of Markov processes.- Optimal control of partially observed diffusions via the separation principle.- A class of singular stochastic control problems.- Sur l'arret optimal de processus a deux indices reels.- Duality theory for some stochastic control models.- On the control of jump processes.- A partially observed inventory problem.- On impulsive control with long run average cost criterion.- Separation theorem for optimal impulse control with discontinuous observations.- Optimal control based on observations on the boundary.

Radon-Nikodym derivatives in case of rational spectral densities. - Differentiation of measures related to stochastic processes. - Dynkin games. - An introduction to the stochastic calculus of variations. - On one-dimensional Markov SDEs. - Some problems in sequential analysis. - A stochastic differential equation for Feller's one-dimensional diffusions. - A result of the iterated logarithm type for a certain class of stochastic processes. - Approximation of large deviations estimates and escape times and applications to systems with small noise effects. - On strong solutions of stohastic equations with respect to semimartingales. - Inverse problems in stochastic Riemannian geometry. - Some results on likelihood ratios for two-parameter processes. - Controllability of stochastic systems. - Solving the Zakai equation by ito's Method. - Simple and efficient linear and nonlinear filters by regular perturbation methods. - The non linear filtering equations. - On robust approximations in nonlinear filtering. - Smoothing of a diffusion process conditionned at final time. - First passage times in stochastic models of physical systems and in filtering theory. - Adaptive stochastic filtering problems The continuous time case. - Between the chapters: An editor's note. - On perturbation methods in stochastic control. - A control problem in a manifold with nonsmooth boundary. - Some recent results on the control of partially observable stochastic systems. - Optimal controls for partially observed stochastic systems using nonstandard analysis. - Stochastic control with tracking of exogenous parameters. - Nisio semi-group associated to the control of Markov processes. - Optimal control of partially observed diffusions via the separation principle. - A class of singular stochastic control problems. - Surl'arret optimal de processus a deux indices reels. - Duality theory for some stochastic control models. - On the control of jump processes. - A partially observed inventory problem. - On impulsive control with long run average cost criterion. - Separation theorem for optimal impulse control with discontinuous observations. - Optimal control based on observations on the boundary.