Stochastic Analysis


Book Description

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.













Advancing Research in Information and Communication Technology


Book Description

For 60 years the International Federation for Information Processing (IFIP) has been advancing research in Information and Communication Technology (ICT). This book looks into both past experiences and future perspectives using the core of IFIP's competence, its Technical Committees (TCs) and Working Groups (WGs). Soon after IFIP was founded, it established TCs and related WGs to foster the exchange and development of the scientific and technical aspects of information processing. IFIP TCs are as diverse as the different aspects of information processing, but they share the following aims: To establish and maintain liaison with national and international organizations with allied interests and to foster cooperative action, collaborative research, and information exchange. To identify subjects and priorities for research, to stimulate theoretical work on fundamental issues, and to foster fundamental research which will underpin future development. To provide a forum for professionals with a view to promoting the study, collection, exchange, and dissemination of ideas, information, and research findings and thereby to promote the state of the art. To seek and use the most effective ways of disseminating information about IFIP’s work including the organization of conferences, workshops and symposia and the timely production of relevant publications. To have special regard for the needs of developing countries and to seek practicable ways of working with them. To encourage communication and to promote interaction between users, practitioners, and researchers. To foster interdisciplinary work and – in particular – to collaborate with other Technical Committees and Working Groups. The 17 contributions in this book describe the scientific, technical, and further work in TCs and WGs and in many cases also assess the future consequences of the work’s results. These contributions explore the developments of IFIP and the ICT profession now and over the next 60 years. The contributions are arranged per TC and conclude with the chapter on the IFIP code of ethics and conduct.




Advances in Filtering and Optimal Stochastic Control


Book Description

This volume contains contributions to a conference on filtering, optimal stochastic control, and related topics, held in Cocoyoc, Mexico, in February 1982. In addition to specialists in nonlinear filtering and stochastic control, several outstanding probabilists working in related fields were an important element in the conference. The focus was not only on the mathematical aspects of the theory, but on newer areas of application and on numerical techniques of approximate solutions to problems in filtering and stochastic control.







Stochastic Optimization


Book Description