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Stochastic Analysis


Author: Eddy Mayer-WolfEly MerzbachAdam Shwartz

Publisher: Academic Press

Publish Date: 28th April 1991

ISBN-13: 9781483218700

Pages: 552

Language: English



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.

Table of Contents

Invited Speakers to the Conference in Honor of Moshe Zakai are Denoted by a star* Preface Foreword Publications by Moshe Zakai Conformally Invariant and Reflection Positive Random Fields in Two Dimensions Real Time Architectures for the Zakai Equation and Applications Quadratic Approximation by Linear Systems Controlled from Partial Observations A Model of Stochastic Differential Equation in Hilbert Spaces Applicable to Navier Stokes Equation in Dimension 2 Wavelets as Attractors of Random Dynamical Systems Markov Properties for Certain Random Fields The Anatomy of a Low-Noise Jump Filter: Part I On the Value of Information in Controlled Diffusion Processes Orthogonal Martingale Representation Nonlinear Filtering with Small Observation Noise: Piecewise Monotone Observations Closed Form Characteristic Functions for Certain Random Variables Related to Brownian Motion Adaptedness and Existence of Occupation Densities for Stochastic Integral Processes in the Second Wiener Chaos A Skeletal Theory of Filtering Equilibrium in a Simplified Dynamic, Stochastic Economy with Heterogeneous Agents Feynman-Kac Formula for a Degenerate Planar Diffusion and an Application in Stochastic Control On the Interior Smoothness of Harmonic Functions for Degenerate Diffusion Processes The Stability and Approximation Problems in Nonlinear Filtering Theory Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE’s Nonlinear Filtering for Singularly Perturbed Systems Smooth σ-Fields Composition of Large Deviation Principles and Applications Nonlinear Transformations of the Wiener Measure and Applications Finite Dimensional Approximate Filters in the Case of High Signal-To-Noise Ratio A Simple Proof of Uniqueness for Kushner and Zakai Equations Itô-Wiener Expansions of Holomorphic Functions on the Complex Wiener Space Limits of the Wong-Zakai Type with a Modified Drift Term Donsker’s δ-Functions in the Malliavin Calculus Implementing Boltzmann Machines Infinite Dimensionality Results for MAP Estimation