Stochastic Analysis
Liber Amicorum for Moshe Zakai
- 1st Edition - May 10, 2014
- Imprint: Academic Press
- Editors: Eddy Mayer-Wolf, Ely Merzbach, Adam Shwartz
- Language: English
- Paperback ISBN:9 7 8 - 1 - 4 8 3 2 - 0 5 2 7 - 4
- eBook ISBN:9 7 8 - 1 - 4 8 3 2 - 1 8 7 0 - 0
Stochastic Analysis: Liber Amicorum for Moshe Zakai focuses on stochastic differential equations, nonlinear filtering, two-parameter martingales, Wiener space analysis, and related… Read more
Purchase options
Institutional subscription on ScienceDirect
Request a sales quoteStochastic 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.
Invited Speakers to the Conference in Honor of Moshe Zakai are Denoted by a star*PrefaceForewordPublications by Moshe ZakaiConformally Invariant and Reflection Positive Random Fields in Two DimensionsReal Time Architectures for the Zakai Equation and ApplicationsQuadratic Approximation by Linear Systems Controlled from Partial ObservationsA Model of Stochastic Differential Equation in Hilbert Spaces Applicable to Navier Stokes Equation in Dimension 2Wavelets as Attractors of Random Dynamical SystemsMarkov Properties for Certain Random FieldsThe Anatomy of a Low-Noise Jump Filter: Part IOn the Value of Information in Controlled Diffusion ProcessesOrthogonal Martingale RepresentationNonlinear Filtering with Small Observation Noise: Piecewise Monotone ObservationsClosed Form Characteristic Functions for Certain Random Variables Related to Brownian MotionAdaptedness and Existence of Occupation Densities for Stochastic Integral Processes in the Second Wiener ChaosA Skeletal Theory of FilteringEquilibrium in a Simplified Dynamic, Stochastic Economy with Heterogeneous AgentsFeynman-Kac Formula for a Degenerate Planar Diffusion and an Application in Stochastic ControlOn the Interior Smoothness of Harmonic Functions for Degenerate Diffusion ProcessesThe Stability and Approximation Problems in Nonlinear Filtering TheoryWong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE'sNonlinear Filtering for Singularly Perturbed SystemsSmooth σ-FieldsComposition of Large Deviation Principles and ApplicationsNonlinear Transformations of the Wiener Measure and ApplicationsFinite Dimensional Approximate Filters in the Case of High Signal-To-Noise RatioA Simple Proof of Uniqueness for Kushner and Zakai EquationsItô-Wiener Expansions of Holomorphic Functions on the Complex Wiener SpaceLimits of the Wong-Zakai Type with a Modified Drift TermDonsker's δ-Functions in the Malliavin CalculusImplementing Boltzmann MachinesInfinite Dimensionality Results for MAP Estimation
- Edition: 1
- Published: May 10, 2014
- Imprint: Academic Press
- Language: English
- Paperback ISBN: 9781483205274
- eBook ISBN: 9781483218700
Read Stochastic Analysis on ScienceDirect