Stochastic Theory and Control: Proceedings of a Workshop held in Lawrence, Kansas

Nonlinear and Stochastic Stability Problems in Gated Radar Range Trackers....Pages 1-17
Asymptotic Properties and Associated Control Problems of Discrete-Time Singularly Perturbed Markov Chains....Pages 19-34
Feedback Designs in Information-Based Control....Pages 35-57
Ergodic Control Bellman Equation with Neumann Boundary Conditions....Pages 59-71
Regime Switching and European Options....Pages 73-82
Equivalence of Two Kinds of Stability for Multi-dimensional ARMA Systems....Pages 83-96
System Identification and Time Series Analysis: Past, Present, and Future....Pages 97-109
Max-Plus Stochastic Control....Pages 111-119
An Optimal Consumption-Investment Problem for Factor-Dependent Models....Pages 121-130
Adaptation of a Real-Time Seizure Detection Algorithm....Pages 131-136
Randomization Methods in Optimization and Adaptive Control....Pages 137-153
Capacity of the Multiple-Input, Multiple-Output Poisson Channel....Pages 155-168
Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes....Pages 169-183
Numerical Methods for Optimal Stopping Using Linear and Non-linear Programming....Pages 185-203
The ODE Method and Spectral Theory of Markov Operators....Pages 205-221
Sign-Regressor Adaptive Filtering Algorithms Using Averaged Iterates and Observations....Pages 223-238
Kalman-Type Filters Approach for Some Nonparametric Estimation Problems....Pages 239-250
Detection and Estimation in Stochastic Systems with Time-Varying Parameters....Pages 251-265
Asymptotic Normality in Partially Observed Diffusions with Small Noise: Application to FDI....Pages 267-282
Stochastic Lagrangian Adaptive LQG Control....Pages 283-300
Optimal Control of Linear Backward Stochastic Differential Equations with a Quadratic Cost Criterion....Pages 301-317
Hilbert Spaces Induced by Toeplitz Covariance Kernels....Pages 319-333
Error Analysis of a Max-Plus Algorithm for a First-Order HJB Equation....Pages 335-351
Optimal Strategies for Ergodic Control Problems Arising from Portfolio Optimization....Pages 353-368
Finite Horizon Full-State Feedback k CC Control in Civil Structures Protection....Pages 369-383
Robust Stochastic Maximum Principle: A Measured Space as Uncertainty Set....Pages 385-397
On Optimality of Stochastic N -Machine Flowshop with Long-Run Average Cost....Pages 399-417
A Risk-Sensitive Generalization of Maximum APosterior Probability (MAP) Estimation....Pages 419-433
Bayesian Adaptive Control of Discrete Time Partially Observed Markov Processes....Pages 435-446
Portfolio Optimization in Markets Having Stochastic Rates....Pages 447-458
Moment Problems Related to the Solutions of Stochastic Differential Equations....Pages 459-469
Probabilistic Rate Compartment Cancer Model: Alternate versus Traditional Chemotherapy Scheduling....Pages 471-489
Finite-Dimensional Filters with Nonlinear Drift. XII: Linear and Constant Structure of Wong-Matrix....Pages 491-506
The Stability Game....Pages 507-518
Bayes Estimation via Filtering Equation for O-U Process with Discrete Noises: Application to the Micro-Movement of Stock Prices....Pages 519-532
Hybrid Filtering....Pages 533-548
....Pages 549-564