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Stochastics

Short Title: Stochastics
Publisher: Gordon and Breach, New York, NY, Taylor and Francis
ISSN: 0090-9491
Online: http://www.tandfonline.com/loi/gssr20
Successor: Stochastics and Stochastics Reports
Comments: Journal; No longer indexed
Documents Indexed: 372 Publications (1973–1988)
References Indexed: 367 Publications with 5,595 References.
all top 5

Authors

9 Kushner, Harold J.
6 Borkar, Vivek Shripad
5 Gyöngy, István
5 Huang, Hai
4 Beneš, Václav Edvard
4 Bensoussan, Alain
4 Chitashvili, Revaz Ya.
4 Curtain, Ruth Frances
4 Cutland, Nigel J.
4 Da Prato, Giuseppe
4 Jacod, Jean
4 Karatzas, Ioannis
4 Kotelenez, Peter M.
4 Marcus, Steven I.
4 Nualart, David
4 Zeitouni, Ofer
3 Bagchi, Arunabha
3 Bradley, Richard C. jun.
3 Bucy, Richard S.
3 Carverhill, Andrew P.
3 Day, Martin V.
3 Dembo, Amir
3 Elliott, Robert James
3 Gorostiza, Luis G.
3 Haussmann, Ulrich G.
3 Krener, Arthur James
3 Leizarowitz, Arie
3 Makowski, Armand M.
3 Morimoto, Hiroaki
3 Ocone, Daniel L.
3 Pardoux, Etienne
3 Protter, Philip Elliott
3 Stettner, Łukasz
3 Stricker, Christophe
3 Szpirglas, Jacques
3 Tubaro, Luciano
3 Tudor, Constantin
3 Ustunel, Ali Suleyman
3 Vostrikova, Lioudmila
3 Wets, Roger Jean-Baptiste
3 Yushkevich, Aleksandr Adol’fovich
3 Zakai, Moshe
2 Al-Hussaini, Ata N.
2 Arnold, Ludwig
2 Baras, John S.
2 Barlow, Martin T.
2 Başar, Tamer
2 Bashirov, Agamirza E.
2 Bertoin, Jean
2 Björk, Tomas
2 Blankenship, Gilmer L.
2 Chaleyat-Maurel, Mireille
2 Chiang, Tzuu-Shuh
2 Christopeit, Norbert
2 Darling, Richard W. R.
2 Davis, Mark Herbert Ainsworth
2 Dozzi, Markus
2 Duncan, Tyrone E.
2 Engelbert, Hans-Jürgen
2 Ershov, M. P.
2 Fleming, Wendell Helms
2 Gorni, Gianluca
2 Grimmett, Geoffrey R.
2 Hazewinkel, Michiel
2 Heunis, Andrew J.
2 Hwang, Chii-Ruey
2 Iannelli, Mimmo
2 Ichikawa, Akira
2 Jacka, Saul D.
2 Kennedy, Douglas P.
2 Kohlmann, Michael
2 Krylov, Nicolaĭ Vladimirovich
2 Kunita, Hiroshi
2 Lebedev, V. A.
2 Lenglart, Erik
2 Lepeltier, Jean-Pierre
2 Lions, Pierre-Louis
2 Liptser, Robert
2 Mackevičius, Vigirdas
2 Mania, Michael
2 Mazziotto, Gerald
2 Melnikov, Aleksander Viktorovich
2 Michel, Dominique
2 Mitter, Sanjoy K.
2 Newman, Charles Michael
2 Orey, Steven
2 Pelkowitz, Lionel
2 Picard, Jean
2 Pinsky, Mark Allan
2 Pontier, Monique
2 Rockafellar, Ralph Tyrrell
2 Rodriguez-Canabal, J.
2 Sheu, Shuenn-Jyi
2 Shiryaev, Al’bert Nikolaevich
2 Shreve, Steven E.
2 Stefanov, Valeri T.
2 Stuck, B. W.
2 Toronyadze, T. A.
2 Walrand, Jean C.
2 Wihstutz, Volker
...and 242 more Authors

Publications by Year

Citations contained in zbMATH Open

316 Publications have been cited 4,480 times in 3,695 Documents Cited by Year
Stochastic partial differential equations and filtering of diffusion processes. Zbl 0424.60067
Pardoux, E.
232
1979
A strong law of large numbers for local martingales. Zbl 0435.60037
Liptser, R. Sh.
192
1980
Large deviations from the McKean-Vlasov limit for weakly interacting diffusions. Zbl 0613.60021
Dawson, Donald A.; Gärtner, Jürgen
180
1987
Brownian models of open queueing networks with homogeneous customer populations. Zbl 0632.60095
Harrison, J. M.; Williams, R. J.
104
1987
Some solvable stochastic control problems. Zbl 0451.93068
Benes, V. E.; Shepp, L. A.; Witsenhausen, H. S.
101
1980
Exact finite-dimensional filters for certain diffusions with nonlinear drift. Zbl 0458.60030
Benes, V. E.
97
1981
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
95
1987
Estimation of the coefficients of a diffusion from discrete observations. Zbl 0626.62085
Dacunha-Castelle, D.; Florens-Zmirou, D.
86
1986
Regularity of solutions of linear stochastic equations in Hilbert spaces. Zbl 0634.60053
da Prato, Guiseppe; Kwapień, S.; Zabczyk, J.
82
1987
A criterion of convergence of measure-valued processes: Application to measure branching processes. Zbl 0598.60088
Roelly-Coppoletta, Sylvie
78
1986
Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions. Zbl 0516.60072
Bensoussan, A.
70
1983
Stochastic quasigradient methods and their application to system optimization. Zbl 0512.90079
Ermoliev, Yuri
68
1983
Modeling and approximation of stochastic differential equations driven by semimartingales. Zbl 0456.60064
Marcus, Steven I.
64
1981
On stochastic equations with respect to semimartingales I. Zbl 0439.60061
Gyöngy, I.; Krylov, N. V.
62
1980
On stochastics equations with respect to semimartingales. II. Ito formula in Banach spaces. Zbl 0481.60060
Gyoengy, I.; Krylov, N. V.
62
1982
Malliavin’s calculus and stochastic integral representations of functionals of diffusion processes. Zbl 0542.60055
Ocone, Daniel
55
1984
On stochastic equations with respect to semimartingales. III. Zbl 0495.60067
Gyongy, I.
54
1982
The minimax approach to stochastic programming and an illustrative application. Zbl 0616.90046
Dupačová, Jitka
52
1987
A submartingale type inequality with applications to stochastic evolution equations. Zbl 0495.60066
Kotelenez, Peter
48
1982
Nonnegative Ricci curvature and the Brownian coupling property. Zbl 0584.58045
Kendall, Wilfried S.
48
1986
The Laplace and the stationary phase methods on Wiener space. (Méthode de Laplace et de la phase stationnaire sur l’espace de Wiener.) Zbl 0666.60026
Ben Arous, Gérard
47
1988
On processes of Ornstein-Uhlenbeck type in Hilbert space. Zbl 0622.60072
Chojnowska-Michalik, Anna
45
1987
A convergence result for stochastic partial differential equations. Zbl 0653.60049
Brzeźniak, Z.; Capiński, M.; Flandoli, F.
45
1988
Flows of stochastic dynamical systems: Ergodic theory. Zbl 0536.58019
Carverhill, Andrew
44
1985
Le jeu de Dynkin en theorie generale sans l’hypothèse de Mokobodski. Zbl 0541.60041
Lepeltier, J. P.; Maingueneau, M. A.
44
1984
On the exponential exit law in the small parameter exit problem. Zbl 0504.60032
Day, Martin V.
43
1983
Semilinear stochastic evolution equations: Boundedness, stability and invariant measures. Zbl 0538.60068
Ichikawa, Akira
43
1984
Equations du filtrage non linéaire de la prediction et du lissage. Zbl 0491.93062
Pardoux, E.
41
1982
Asymptotic normality of prediction error estimators for approximate system models. Zbl 0437.93044
Ljung, Lennart; Caines, Peter E.
37
1979
On the approximation of stochastic partial differential equations. I. Zbl 0669.60058
Gyöngy, I.
36
1988
Optimal control of piecewise deterministic Markov process. Zbl 0566.93074
Vermes, D.
36
1985
Ergodic theory and a local occupation time for measure-valued critical branching Brownian motion. Zbl 0608.60077
Iscoe, I.
35
1986
On the interchange of subdifferentiation and conditional expectation for convex functionals. Zbl 0487.49006
Rockafellar, R. T.; Wets, R. J. B.
34
1982
The partial Malliavin calculus and its application to nonlinear filtering. Zbl 0567.60046
Kusuoka, S.; Stroock, D.
33
1984
Finite dimensional optimal filters for a class of Ito-processes with jumping parameters. Zbl 0443.60038
Björk, T.
33
1980
On unique ergodicity for degenerate diffusions. Zbl 0617.60076
Arnold, Ludwig; Kliemann, Wolfgang
32
1987
Optimal control and nonlinear filtering for nondegenerate diffusion processes. Zbl 0493.93047
Fleming, Wendell H.; Mitter, Sanjoy K.
31
1982
On backward stochastic differential equations. Zbl 0533.60073
Kunita, Hiroshi
31
1982
Recent progress on the small parameter exit problem. Zbl 0612.60067
Day, Martin V.
31
1987
Estimation and control in discounted stochastic dynamic programming. Zbl 0621.90092
Schäl, Manfred
29
1987
On the integral representation of functionals of Ito processes. Zbl 0427.60056
Haussmann, U. G.
27
1979
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
26
1986
Small random perturbations of Peano phenomena. Zbl 0487.60050
Bafico, R.; Baldi, P.
26
1982
Solving stochastic programs with simple recourse. Zbl 0584.90067
Wets, Roger J.-B.
26
1983
Singular control problems in bounded intervals. Zbl 0628.49017
Sun, Min
26
1987
Qualitative behaviour of stochastic delay equations with a bounded memory. Zbl 0539.60061
Scheutzow, M.
24
1984
Stochastic approximation algorithms for parallel and distributed processing. Zbl 0643.62055
Kushner, H. J.; Yin, G.
23
1987
Les processus de Dirichlet en tant qu’espace de Banach. (Dirichlet processes as Banach spaces). Zbl 0602.60069
Bertoin, Jean
23
1986
Generalized multiple stochastic integrals and the representation of Wiener functionals. Zbl 0641.60062
Nualart, David; Zakai, Moshe
22
1988
Weak and strong solutions of stochastic differential equations. Zbl 0434.60061
Jacod, Jean
21
1980
Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038
Yor, Marc
21
1979
A new comparison theorem for solutions of stochastic differential equations. Zbl 0428.60070
O’Brien, G. L.
20
1980
Strong solutions of stochastic differential equations with boundary conditions. Zbl 0479.60062
Chitashvili, R. J.; Lazrieva, N. L.
20
1981
A maximum a posteriori estimator for trajectories of diffusion processes. Zbl 0612.60041
Zeitouni, O.; Dembo, A.
20
1987
Lyapunov exponents of nilpotent Itô systems. Zbl 0654.60043
Pinsky, M. A.; Wihstutz, Volker
20
1988
Parameter estimation in continuous-time stochastic processes. Zbl 0499.62076
Borkar, Vivek; Bagchi, Arunabha
19
1982
Des resultats de non existence de filtre de dimension finie. Zbl 0536.60054
Chaleyat-Maurel, Mireille; Michel, Dominique
19
1984
One-dimensional stochastic differential equations involving a singular increasing process. Zbl 0543.60065
Barlow, M. T.; Perkins, E.
19
1984
A note on a comparison theorem for equations with different diffusions. Zbl 0487.60048
Gal’cuk, L. I.; Davis, M. H. A.
18
1982
Résolution trajectorielle et analyse numérique des équations différentielles stochastiques. Zbl 0512.60041
Talay, Denis
18
1983
On stochastic programming. II: Dynamic problems under risk. Zbl 0653.90054
Dempster, M. A. H.
18
1988
On Lie algebras and finite dimensional filtering. Zbl 0509.93058
Hazewinkel, Michiel; Marcus, Steven I.
17
1982
On existence and uniqueness of solution of stochastic differential equations with heredity. Zbl 0568.60062
Rodkina, A. E.
17
1984
Optimal stopping of a piecewise-deterministic Markov process. Zbl 0611.60039
Gugerli, U. S.
17
1986
Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057
Jacod, Jean; Memin, Jean
17
1981
Dynkin games and martingale methods. Zbl 0569.60050
Morimoto, Hiroaki
17
1984
Généralisation d’un lemme de S. Nakao et applications. (Generalizations of a lemma of S. Nakao and applications). Zbl 0637.60059
Ouknine, Youssef
16
1988
An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions. Zbl 0657.62099
Zeitouni, O.; Dembo, A.
16
1988
Stochastic equations and Krylov’s estimates for semimartingales. Zbl 0539.60059
Mel’nikov, A. V.
16
1983
A robust discrete state approximation to the optimal nonlinear filter for a diffusion. Zbl 0421.60054
Kushner, Harold J.
16
1979
Some results on linear stochastic differential equations in Hilbert spaces. Zbl 0475.60041
Da Prato, G.; Iannelli, M.; Tubaro, L.
16
1982
A maximal inequality for stochastic convolution integrals on Hilbert spaces and space-time regularity of linear stochastic partial differential equations. Zbl 0622.60065
Kotelenez, Peter
16
1987
Reciprocal diffusions and stochastic differential equations of second order. Zbl 0653.60048
Krener, Arthur J.
16
1988
An asymptotically efficient difference formula for solving stochastic differential equations. Zbl 0618.60053
Newton, Nigel J.
15
1986
Probability maximizing approach to optimal stopping and its application to a disorder problem. Zbl 0432.60051
Bojdecki, Tomasz
15
1979
Finite dimensional filter systems in discrete time. Zbl 0471.60052
Sawitzki, Günther
15
1981
Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets. Zbl 0614.60023
Dupuis, Paul
15
1987
Some pairwise independent sequences for which the central limit theorem fails. Zbl 0645.60027
Janson, Svante
14
1988
On the fixed-interval smoothing problem. Zbl 0485.60043
Wall, Joseph E. jun.; Willsky, Alan S.; Sandell, Nils R. jun.
14
1981
Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044
Jacod, Jean
14
1980
Optimal multiple quantum statistical hypothesis testing. Zbl 0353.62025
Belavkin, V. P.
14
1975
Bellman inequalities in Markov decision deterministic drift processes. Zbl 0643.90095
Yushkevich, A. A.
14
1987
Necessary conditions for optimality for a diffusion with a non-smooth drift. Zbl 0651.93077
Mezerdi, Brahim
13
1988
Quasi-least-squares estimation in semimartingale regression models. Zbl 0586.62137
Christopeit, Norbert
13
1986
Existence for a class of stochastic parabolic variational inequalities. Zbl 0467.60060
Rascanu, A.
13
1981
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
13
1980
A conditionally almost linear filtering problem with non-Gaussian initial condition. Zbl 0641.60050
Haussmann, U. G.; Pardoux, E.
13
1988
Approximations for chance-constrained programming problems. Zbl 0536.90067
Salinetti, G.
12
1983
Continuous-time Markov decision processes with interventions. Zbl 0498.90081
Yushkevich, A. A.
12
1983
Multiple integral expansions for nonlinear filtering. Zbl 0517.60046
Ocone, Daniel
12
1983
Bounds on the value of information in uncertain decision problems. II. Zbl 0525.90002
Hausch, D. B.; Ziemba, W. T.
12
1983
Deterministic and stochastic optimization problems of Bolza type in discrete time. Zbl 0534.49022
Rockafellar, R. T.; Wets, R. J.-B.
12
1983
The exit distributions for small random perturbations of dynamical systems with a repulsive type stationary point. Zbl 0541.60073
Eizenberg, Alexander
12
1984
Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process. Zbl 0582.60053
Lenhart, Suzanne; Liao, Yu-Chung
12
1985
A viability approach to the Skorohod problem. Zbl 0601.60059
Frankowska, Halina
12
1985
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1980
Rate of convergence of uniform transport processes to Brownian motion and application to stochastic integrals. Zbl 0444.60025
Gorostiza, Luis G.; Griego, Richard J.
12
1980
Strong envelopes of stochastic processes and a penalty method. Zbl 0467.60046
Stettner, L.; Zabczyk, J.
12
1981
New results on the innovations problem for non-linear filtering. Zbl 0453.60046
Allinger, Deborah F.; Mitter, Sanjoy K.
12
1981
On the concept of excitation in least squares identification and adaptive control. Zbl 0595.60048
Lai, Tze Leung; Wei, Ching Zong
12
1986
The Laplace and the stationary phase methods on Wiener space. (Méthode de Laplace et de la phase stationnaire sur l’espace de Wiener.) Zbl 0666.60026
Ben Arous, Gérard
47
1988
A convergence result for stochastic partial differential equations. Zbl 0653.60049
Brzeźniak, Z.; Capiński, M.; Flandoli, F.
45
1988
On the approximation of stochastic partial differential equations. I. Zbl 0669.60058
Gyöngy, I.
36
1988
Generalized multiple stochastic integrals and the representation of Wiener functionals. Zbl 0641.60062
Nualart, David; Zakai, Moshe
22
1988
Lyapunov exponents of nilpotent Itô systems. Zbl 0654.60043
Pinsky, M. A.; Wihstutz, Volker
20
1988
On stochastic programming. II: Dynamic problems under risk. Zbl 0653.90054
Dempster, M. A. H.
18
1988
Généralisation d’un lemme de S. Nakao et applications. (Generalizations of a lemma of S. Nakao and applications). Zbl 0637.60059
Ouknine, Youssef
16
1988
An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions. Zbl 0657.62099
Zeitouni, O.; Dembo, A.
16
1988
Reciprocal diffusions and stochastic differential equations of second order. Zbl 0653.60048
Krener, Arthur J.
16
1988
Some pairwise independent sequences for which the central limit theorem fails. Zbl 0645.60027
Janson, Svante
14
1988
Necessary conditions for optimality for a diffusion with a non-smooth drift. Zbl 0651.93077
Mezerdi, Brahim
13
1988
A conditionally almost linear filtering problem with non-Gaussian initial condition. Zbl 0641.60050
Haussmann, U. G.; Pardoux, E.
13
1988
Skew Brownian motion and a one dimensional stochastic differential equation. Zbl 0657.60075
Barlow, M. T.
11
1988
On the moments of a multiple Wiener-Ito integral and the space induced by the polynomials of the integral. Zbl 0669.60052
Nualart, D.; Ustunel, A. S.; Zakai, M.
11
1988
On the approximation of stochastic differential equations. Zbl 0635.60071
Gyöngy, I.
9
1988
On the weak convergence of likelihood ratio processes of general statistical parametric models. Zbl 0643.60029
Vostrikova, L.
8
1988
Stochastic integration for operator valued processes on Hilbert spaces and on nuclear spaces. Zbl 0649.60065
Korezlioglu, Hayri; Martias, Claude
7
1988
Semi-discretization of stochastic partial differential equations on \(R^ d\) by a finite-element technique. Zbl 0641.60051
Germani, A.; Piccioni, M.
7
1988
Controlled diffusions in a random medium. Zbl 0666.93131
Bensoussan, A.; Blankenship, G.
7
1988
Large deviations for the empirical field of Curie-Weiss models. Zbl 0657.60040
Orey, Steven
6
1988
On stochastic evolution equations driven by continuous semimartingales. Zbl 0638.60073
Tudor, Constantin
5
1988
Nonlinear filtering and large deviations: A PDE-control theoretic approach. Zbl 0642.93059
James, M. R.; Baras, J. S.
5
1988
Limit laws for the intersection local time of stable processes in \({\mathbb{R}}^ 2\). Zbl 0636.60079
Rosen, J.
5
1988
On linear filtering under dependent wide-band noise. Zbl 0645.60047
Bashirov, A. E.
4
1988
Adaptive control of linear delay time systems. Zbl 0647.93045
Duncan, T. E.; Pasik-Duncan, B.
4
1988
Rate of growth of the coalescent set in a coalescing stochastic flow. Zbl 0648.60073
Darling, R. W. R.
4
1988
On the two-armed bandit problem with continuous time parameter and discounted rewards. Zbl 0643.90096
Yushkevich, A. A.
4
1988
Some generalizations of Wentzell’s lower estimates on large deviations. Zbl 0651.60033
Mikami, Toshio
4
1988
Extension of the Itô calculus via the Malliavin calculus. Zbl 0641.60063
Ustunel, A. S.
3
1988
On the variation of the difference of singular components in the Skorokhod problem and on stochastic differential systems in a half-space. Zbl 0648.60055
Shashiashvili, M. A.
3
1988
An extension of the Ventcel-Freidlin large deviation principle. Zbl 0695.60035
Cutland, Nigel J.
3
1988
On stochastic filtering approximations of estimation problems for systems with uncertainty. Zbl 0633.60060
Kurzanskii, A. B.
2
1988
On a theorem of Gordin. Zbl 0657.60056
Bradley, Richard C.
2
1988
On the local time of the multiparameter Wiener process and the asymptotic behaviour of an associated integral. Zbl 0674.60053
Dozzi, Markus
2
1988
On almost sure optimization for stochastic control systems. Zbl 0685.93078
Leizarowitz, Arie
2
1988
An extension of a result of Kahane using Brownian local times of intersection. Zbl 0645.60086
Mountford, T. S.
2
1988
Une évaluation de la distance entre les lois d’une semimartingale et d’un processus à accroissements indépendants. (An evaluation of the distance between the laws of a semi-martingale and of a process with independent increments). Zbl 0673.60003
Jacod, Jean; Mano, Pascal
2
1988
A class of solvable nonlinear filters. Zbl 0641.93062
Arede, T.
1
1988
Asymptotic properties of prediction error estimators in approximate system identification. Zbl 0648.60048
Heunis, A. J.
1
1988
Stochastic functional differential equations modelling materials with selective recall. Zbl 0668.60055
Marcus, Moshe; Mizel, Victor J.
1
1988
A linear filtering problem using Radon transform. Zbl 0669.60048
Takenaka, Shigeo
1
1988
The distribution of a double stochastic integral with respect to two independent Brownian sheets. Zbl 0669.60051
Juliá, O.; Nualart, D.
1
1988
Estimates and exact expressions for Lyapunov exponents of stochastic linear differential equations. Zbl 0669.34060
Leizarowitz, Arie
1
1988
Large deviation of some infinite-dimensional Markov processes. Zbl 0637.60036
Chiang, Tzuu-Shuh; Sheu, Shuenn-Jyi
1
1988
Approximation d’un filtre avec observation sur une variété compacte. (Approximation of a filter with observation on a compact manifold). Zbl 0649.60048
Pontier, Monique
1
1988
On stopping points in the plane that lie on a unique optional increasing path. Zbl 0653.60036
Dalang, Robert C.
1
1988
Large deviations from the McKean-Vlasov limit for weakly interacting diffusions. Zbl 0613.60021
Dawson, Donald A.; Gärtner, Jürgen
180
1987
Brownian models of open queueing networks with homogeneous customer populations. Zbl 0632.60095
Harrison, J. M.; Williams, R. J.
104
1987
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
95
1987
Regularity of solutions of linear stochastic equations in Hilbert spaces. Zbl 0634.60053
da Prato, Guiseppe; Kwapień, S.; Zabczyk, J.
82
1987
The minimax approach to stochastic programming and an illustrative application. Zbl 0616.90046
Dupačová, Jitka
52
1987
On processes of Ornstein-Uhlenbeck type in Hilbert space. Zbl 0622.60072
Chojnowska-Michalik, Anna
45
1987
On unique ergodicity for degenerate diffusions. Zbl 0617.60076
Arnold, Ludwig; Kliemann, Wolfgang
32
1987
Recent progress on the small parameter exit problem. Zbl 0612.60067
Day, Martin V.
31
1987
Estimation and control in discounted stochastic dynamic programming. Zbl 0621.90092
Schäl, Manfred
29
1987
Singular control problems in bounded intervals. Zbl 0628.49017
Sun, Min
26
1987
Stochastic approximation algorithms for parallel and distributed processing. Zbl 0643.62055
Kushner, H. J.; Yin, G.
23
1987
A maximum a posteriori estimator for trajectories of diffusion processes. Zbl 0612.60041
Zeitouni, O.; Dembo, A.
20
1987
A maximal inequality for stochastic convolution integrals on Hilbert spaces and space-time regularity of linear stochastic partial differential equations. Zbl 0622.60065
Kotelenez, Peter
16
1987
Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets. Zbl 0614.60023
Dupuis, Paul
15
1987
Bellman inequalities in Markov decision deterministic drift processes. Zbl 0643.90095
Yushkevich, A. A.
14
1987
The shadow price of information in continuous time decision problems. Zbl 0628.93076
Back, Kerry; Pliska, Stanley R.
9
1987
A characterization of the Poisson process by conditional moments. Zbl 0605.60067
Bryc, W.
8
1987
Régularité au bord pour les densités et les densités conditionnelles d’une diffusion réflechie hypoélliptique. (Regularity at boundary for the densities and conditional densities of a hypoelliptic reflected diffusion). Zbl 0637.60092
Cattiaux, Patrick
7
1987
A remark on the large deviations of an ergodic Markov process. Zbl 0638.60036
Fleming, W. H.; Sheu, S.-J.; Soner, H. M.
7
1987
Singular stochastic control and optimal stopping. Zbl 0615.60040
Baldursson, Fridrik Már
7
1987
Stochastic control of two-parameter processes application: The two-armed bandit problem. Zbl 0643.60040
Mazziotto, G.; Millet, A.
7
1987
Infinite horizon stochastic regulation and tracking with the overtaking criterion. Zbl 0629.93078
Leizarowitz, Arie
6
1987
Strong solutions of stochastic differential equations involving local times. Zbl 0629.60064
Rutkowski, Marek
5
1987
Tracking almost periodic signals under white noise perturbations. Zbl 0624.60073
Halanay, A.; Tudor, C.
5
1987
Optimal locally absolutely continuous change of measure. Finite set of decisions. I. Zbl 0622.93077
Chitashvili, R. J.; Mania, M. G.
5
1987
Parameter sensitivity in stochastic optimal control. Zbl 0629.93079
Loewen, Philip D.
3
1987
Erratum to: A maximum a posteriori estimator for trajectories of diffusion processes. Zbl 0665.60048
Zeitouni, O.; Dembo, A.
3
1987
Rate of convergence in the Bernstein-von Mises theorem for a class of diffusion processes. Zbl 0644.60047
Mishra, M. N.; Prakasa Rao, B. L. S.
2
1987
Optimal locally absolutely continuous change of measure. Finite set of decisions. II: Optimization problems. Zbl 0639.93065
Chitashvili, R. J.; Mania, M. G.
2
1987
A theorem on separation of jets and some properties of random sequences. Zbl 0626.60070
Sonin, I. M.
2
1987
The general discrete time disorder problem. Zbl 0618.60041
Pelkowitz, Lionel
2
1987
On noncooperative n-player cyclic stopping games. Zbl 0618.60040
Morimoto, Hiroaki
2
1987
Robustness of estimators in a finitely additive white noise model. Zbl 0633.62090
Hucke, Hans-Peter
1
1987
The general Markov chain disorder problem. Zbl 0625.60052
Pelkowitz, L.
1
1987
Stochastic bilinear spectral systems. Zbl 0615.60055
Curtain, Ruth F.; Kotelenez, Peter
1
1987
Estimation of the coefficients of a diffusion from discrete observations. Zbl 0626.62085
Dacunha-Castelle, D.; Florens-Zmirou, D.
86
1986
A criterion of convergence of measure-valued processes: Application to measure branching processes. Zbl 0598.60088
Roelly-Coppoletta, Sylvie
78
1986
Nonnegative Ricci curvature and the Brownian coupling property. Zbl 0584.58045
Kendall, Wilfried S.
48
1986
Ergodic theory and a local occupation time for measure-valued critical branching Brownian motion. Zbl 0608.60077
Iscoe, I.
35
1986
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
26
1986
Les processus de Dirichlet en tant qu’espace de Banach. (Dirichlet processes as Banach spaces). Zbl 0602.60069
Bertoin, Jean
23
1986
Optimal stopping of a piecewise-deterministic Markov process. Zbl 0611.60039
Gugerli, U. S.
17
1986
An asymptotically efficient difference formula for solving stochastic differential equations. Zbl 0618.60053
Newton, Nigel J.
15
1986
Quasi-least-squares estimation in semimartingale regression models. Zbl 0586.62137
Christopeit, Norbert
13
1986
On the concept of excitation in least squares identification and adaptive control. Zbl 0595.60048
Lai, Tze Leung; Wei, Ching Zong
12
1986
Filtering formulae for partially observed linear systems with non- Gaussian initial conditions. Zbl 0561.93059
Makowski, Armand M.
11
1986
Absolutely continuous and singular stochastic control. Zbl 0564.93068
Lehoczky, J. P.; Shreve, S. E.
11
1986
A remark on the attainable distributions of controlled diffusions. Zbl 0599.93067
Borkar, Vivek S.
10
1986
Non-linear flows of stochastic linear delay equations. Zbl 0565.60053
Mohammed, S. E. A.
10
1986
Nonlinear filtering with homogenization. Zbl 0563.93065
Bensoussan, A.; Blankenship, G. L.
9
1986
On ergodic impulsive control problems. Zbl 0569.60049
Stettner, Łukasz
8
1986
On the Poisson equation and optimal stopping of ergodic Markov processes. Zbl 0569.60048
Stettner, Łukasz
7
1986
Detecting changes in the AR parameters of a nonstationary ARMA process. Zbl 0598.62105
Moustakides, George V.; Benveniste, Albert
7
1986
On minimum-contrast estimation for Hilbert space-valued stochastic differential equations. Zbl 0587.60049
Koski, T.; Loges, W.
6
1986
...and 216 more Documents
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Cited by 3,730 Authors

44 Brzeźniak, Zdzisław
27 Borkar, Vivek Shripad
26 Duan, Jinqiao
25 Gyöngy, István
23 Ouknine, Youssef
22 Elliott, Robert James
22 Jiang, Daqing
21 Budhiraja, Amarjit S.
20 Karatzas, Ioannis
19 Flandoli, Franco
18 Dawson, Donald Andrew
18 Zeitouni, Ofer
17 Mezerdi, Brahim
17 Nualart, David
17 Wang, Feng-Yu
16 Albeverio, Sergio A.
16 Friz, Peter
16 Röckner, Michael
16 Słomiński, Leszek
15 Russo, Francesco
15 Yin, Gang George
14 Bahlali, Khaled
14 Basin, Michael V.
14 Da Prato, Giuseppe
14 Hausenblas, Erika
14 Imkeller, Peter
14 Liu, Wei
14 Mao, Xuerong
14 Tudor, Constantin
13 Dufour, François
13 Liu, Meng
13 Maslowski, Bohdan
13 Yau, Stephen Shing-Toung
13 Zabczyk, Jerzy
13 Zhang, Xinhong
12 Gorostiza, Luis G.
12 Liu, Qun
12 Manna, Utpal
12 Ustunel, Ali Suleyman
12 Yuan, Chenggui
11 Bagchi, Arunabha
11 Ferrari, Giorgio
11 Haurie, Alain B.
11 Hayat, Tasawar
11 Krylov, Nicolaĭ Vladimirovich
11 Pardoux, Etienne
11 Qiu, Jinniao
11 Rascanu, Aurel
11 Razafimandimby, Paul André
11 Scheutzow, Michael K. R.
11 Stettner, Łukasz
11 Tudor, Ciprian A.
10 Bao, Jianhai
10 Criens, David
10 De Angelis, Tiziano
10 Del Moral, Pierre
10 El Fatini, Mohamed
10 Marcus, Steven I.
10 Menoukeu Pamen, Olivier
10 Morimoto, Hiroaki
10 Pavlyukevich, Ilya
10 Possamaï, Dylan
10 Roelly, Sylvie
10 Veraar, Mark C.
10 Wang, Ke
10 Yin, George Gang
10 Zhang, Tusheng S.
9 Chow, Pao-Liu
9 Delarue, François
9 Dembo, Amir
9 Gao, Hongjun
9 Hernández-Lerma, Onésimo
9 Kotelenez, Peter M.
9 Menaldi, Jose-Luis
9 Mohan, Manil Thankamani
9 Ocone, Daniel L.
9 Sanz-Solé, Marta
9 Tan, Xiaolu
9 Thieullen, Michèle
9 Zakai, Moshe
8 Bakhtin, Yuri Yu.
8 Ben Arous, Gérard
8 Bensoussan, Alain
8 Cattiaux, Patrick
8 Chaleyat-Maurel, Mireille
8 Conforti, Giovanni
8 Duncan, Tyrone E.
8 Ekström, Erik
8 Engelbert, Hans-Jürgen
8 Gątarek, Dariusz
8 Goldys, Beniamin
8 Hjalmarsson, Håkan
8 Kuwada, Kazumasa
8 Lacker, Daniel
8 Liu, Kai
8 Liu, Xianming
8 McKibben, Mark Anthony
8 Méléard, Sylvie
8 Michel, Dominique
8 Øksendal, Bernt Karsten
...and 3,630 more Authors
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Cited in 458 Journals

282 Stochastic Processes and their Applications
136 Probability Theory and Related Fields
133 Stochastic Analysis and Applications
114 Stochastics
92 Systems & Control Letters
89 The Annals of Applied Probability
85 Applied Mathematics and Optimization
80 The Annals of Probability
78 Journal of Mathematical Analysis and Applications
70 Automatica
66 Statistics & Probability Letters
64 Journal of Functional Analysis
55 Stochastics and Dynamics
55 Stochastics
53 Journal of Theoretical Probability
52 Stochastics and Stochastics Reports
51 Journal of Optimization Theory and Applications
47 Journal of Differential Equations
42 SIAM Journal on Control and Optimization
37 Potential Analysis
35 Annals of Operations Research
35 Mathematical Programming. Series A. Series B
35 Stochastic and Partial Differential Equations. Analysis and Computations
34 Physica A
30 Journal of Statistical Physics
28 International Journal of Control
28 Acta Applicandae Mathematicae
28 Queueing Systems
28 European Journal of Operational Research
26 Discrete and Continuous Dynamical Systems. Series B
25 Electronic Journal of Probability
25 Bernoulli
23 Applied Mathematics and Computation
22 Journal of Applied Probability
21 Journal of Mathematical Physics
21 Journal of Computational and Applied Mathematics
20 Journal of Multivariate Analysis
20 Infinite Dimensional Analysis, Quantum Probability and Related Topics
19 Computers & Mathematics with Applications
19 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
19 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
17 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
15 Advances in Applied Probability
15 Lithuanian Mathematical Journal
15 Transactions of the American Mathematical Society
15 SIAM Journal on Optimization
14 Communications in Mathematical Physics
14 Journal of the Franklin Institute
14 Mathematische Nachrichten
14 Mathematics of Operations Research
14 Physica D
14 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
14 Communications in Nonlinear Science and Numerical Simulation
14 Journal of Evolution Equations
13 MCSS. Mathematics of Control, Signals, and Systems
13 Journal of Mathematical Sciences (New York)
13 Random Operators and Stochastic Equations
13 Discrete and Continuous Dynamical Systems
13 Finance and Stochastics
13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
13 Advances in Difference Equations
12 Communications on Pure and Applied Mathematics
12 Mathematics and Computers in Simulation
12 Bulletin des Sciences Mathématiques
12 Mathematical Methods of Operations Research
11 Journal of Econometrics
11 Journal of Economic Dynamics & Control
11 SIAM Journal on Mathematical Analysis
11 International Journal of Theoretical and Applied Finance
10 Journal of Statistical Planning and Inference
10 Automation and Remote Control
10 Communications in Partial Differential Equations
10 Mathematical Control and Related Fields
9 Journal of Mathematical Biology
9 Insurance Mathematics & Economics
9 Statistics
9 Monte Carlo Methods and Applications
9 Nonlinear Dynamics
9 Comptes Rendus. Mathématique. Académie des Sciences, Paris
8 The Annals of Statistics
8 Acta Mathematicae Applicatae Sinica. English Series
8 Optimization
8 Journal of Dynamics and Differential Equations
8 Journal of Nonlinear Science
8 Computational Optimization and Applications
8 Stochastic Models
8 Nonlinear Analysis. Theory, Methods & Applications
7 Nonlinearity
7 Ukrainian Mathematical Journal
7 Journal of Economic Theory
7 Kybernetika
7 Numerical Functional Analysis and Optimization
7 Operations Research Letters
7 Sequential Analysis
7 Journal de Mathématiques Pures et Appliquées. Neuvième Série
7 Linear Algebra and its Applications
7 NoDEA. Nonlinear Differential Equations and Applications
7 Electronic Communications in Probability
7 Mathematical Problems in Engineering
7 Mathematical Finance
...and 358 more Journals
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Cited in 50 Fields

2,707 Probability theory and stochastic processes (60-XX)
888 Systems theory; control (93-XX)
538 Partial differential equations (35-XX)
369 Operations research, mathematical programming (90-XX)
364 Statistics (62-XX)
363 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
337 Calculus of variations and optimal control; optimization (49-XX)
257 Ordinary differential equations (34-XX)
234 Numerical analysis (65-XX)
224 Biology and other natural sciences (92-XX)
173 Dynamical systems and ergodic theory (37-XX)
112 Statistical mechanics, structure of matter (82-XX)
109 Operator theory (47-XX)
107 Global analysis, analysis on manifolds (58-XX)
70 Fluid mechanics (76-XX)
53 Functional analysis (46-XX)
43 Computer science (68-XX)
42 Quantum theory (81-XX)
31 Measure and integration (28-XX)
30 Information and communication theory, circuits (94-XX)
21 Integral equations (45-XX)
21 Mechanics of particles and systems (70-XX)
19 Differential geometry (53-XX)
15 Nonassociative rings and algebras (17-XX)
15 Geophysics (86-XX)
13 Real functions (26-XX)
13 Approximations and expansions (41-XX)
12 Difference and functional equations (39-XX)
11 Combinatorics (05-XX)
11 Linear and multilinear algebra; matrix theory (15-XX)
11 Potential theory (31-XX)
11 Mechanics of deformable solids (74-XX)
10 Mathematical logic and foundations (03-XX)
9 Classical thermodynamics, heat transfer (80-XX)
8 Functions of a complex variable (30-XX)
6 History and biography (01-XX)
6 Several complex variables and analytic spaces (32-XX)
6 Convex and discrete geometry (52-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
4 Topological groups, Lie groups (22-XX)
4 Integral transforms, operational calculus (44-XX)
4 General topology (54-XX)
3 Associative rings and algebras (16-XX)
3 Group theory and generalizations (20-XX)
2 Manifolds and cell complexes (57-XX)
2 Optics, electromagnetic theory (78-XX)
1 General and overarching topics; collections (00-XX)
1 Algebraic geometry (14-XX)
1 Sequences, series, summability (40-XX)
1 Abstract harmonic analysis (43-XX)

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