Stochastic Differential Systems

1. Front Matter

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2. Some results on Newton equation with an additional stochastic force

   • S. Albeverio, A. Hilbert

   Pages 1-13

3. On dirichlet forms on topological vector spaces: Existence and maximality

   • Sergio Albeverio, Michael Röckner

   Pages 14-31

4. Nowhere Radon smooth measures, perturbations of Dirichlet forms and singular quadratic forms

   • Sergio Albeverio, Zhiming Ma

   Pages 32-45

5. A generalization of Ito's formula

   • A. Norbert Alhussaini

   Pages 46-54

6. General functional limit theorems for semimartingales

   • Svetlana Anulova

   Pages 55-62

7. Nonlinear filtering for dynamic systems with singular perturbations

   • Alain Bensoussan

   Pages 63-71

8. On recursive adaptive filtering: Linear case

   • T. Bielecki, B. Gołdys

   Pages 72-81

9. On the smooth fit boundary conditions in the optimal stopping problem for semimertingales

   • R. J. Chitashvili

   Pages 82-90

10. Order determination and adaptive control of ARX models using the PLS criterion

    • Michael H. A. Davis, E. Michael Hemerly

    Pages 91-101

11. Adaptive control of some partially observed linear stochastic systems

    • T. E. Duncan

    Pages 102-114

12. The adjoint process in stochastic optimal control

    • Robert J. Elliott, Michael Kohlmann

    Pages 115-127

13. Integration by parts and the Malliavin calculus

    • Robert J. Elliott, Michael Kohlmann

    Pages 128-139

14. Pathwise stability of random differential equations and the solution of an adaptive control related problem

    • László Gerencsér

    Pages 140-149

15. Stochastic analysis of intertemporal economic issues

    • Guillermo L. Gómez M

    Pages 150-161

16. OLS-Estimation and rationality in linear models with forecast feedback

    • Th. Kottmann

    Pages 162-170

17. Invariance of cones and comparison results for some classes of diffusion processes

    • Pawel Kröger

    Pages 171-182

18. Performance and robustness in adaptive control of linear stochastic systems

    • P. R. Kumar

    Pages 183-195

19. Singular perturbations for stochastic control

    • H. J. Kushner

    Pages 196-205

20. Extended stochastic lyapunov functions and recursive algorithms in linear stochastic systems

    • Tze Leung Lai

    Pages 206-220

The 4th Bad Honnef Conference on Stochastic Differential Systems highlighted recent advances in the areas of stochastic control and filtering theory as well as stochastic analysis. Special emphasis was put on the use of adaptive methods in stochastic systems analysis and on the theory of random fields, both very active fields of current research. There were six survey lectures, two of them on adaptive control of linear stochastic systems (Kumar, Lai), two on problems in stochastic analysis and random fields, (Surgailis, Wong) and one on singular perturbations in nonlinear filtering (Bensoussan). In addition, 37 research papers pertaining to the main topics of the conference were presented.

• Markov
• Nonlinear system
• Normal
• Regelung
• Regression
• adaptive control
• algorithm
• algorithms
• calculus
• control
• feedback
• filtering
• model
• optimal control
• stability

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