zbMath0364.60004MaRDI QIDQ4139359
Albert N. Shiryaev, Robert Sh. Liptser
Publication date: 1977
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
The Novikov and entropy conditions of multidimensional diffusion processes with singular drift ⋮
A conditional approach to the anticipating Girsanov transformation ⋮
Diffusions with singular drift related to wave functions ⋮
Asymptotic expansions of Bayes estimators for small diffusions ⋮
Schrödinger processes with unbounded or singular potentials, conditional Sanov property ⋮
Stability of stochastic integrals under change of filtration ⋮
Backward representation for nonstationary Markov processes with finite state space ⋮
Some comments on a simple nonlinear filter with application to adaptive control ⋮
Time reversal of infinite-dimensional diffusions ⋮
Nonconsistent estimation by diffusion type observations ⋮
Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm ⋮
On minimum uniform metric estimate of parameters of diffusion-type processes ⋮
Multiperiod security markets with differential information ⋮
Infinite-dimensional diffusion processes as Gibbs measures on \(C[0,1^{Z^ d}\)] ⋮
Infinite-dimensional Wiener processes with drift ⋮
Stochastic control methods in optimal design of life testing ⋮
Rate of convergence of transport processes with an application to stochastic differential equations ⋮
Continuity of filtrations of sigma algebras ⋮
The probabilistic structure of controlled diffusion processes ⋮
On a partially observable LQG problem for systems with Markovian jumping parameters ⋮
The law of the solution to a nonlinear hyperbolic SPDE ⋮
Filtering, smoothing and prediction for wide-band noise driven linear systems ⋮
On exponential moments of two Brownian functionals ⋮
A note on a nonlinear semigroup for controlled partially observed diffusions ⋮
Stochastic quantization of field theory in finite and infinite volume ⋮
Distribution of recirculating lymphocytes: A stochastic model foundation ⋮
Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates ⋮
The consistency of a nonlinear least squares estimator from diffusion processes ⋮
A special semimartingale derivation of smoothing and prediction equations ⋮
On the joint nonlinear filtering-smoothing of diffusion processes ⋮
Transformations of diffusion and Schrödinger processes ⋮
Filtering of some nonlinear diffusions satisfying the general Beneš condition ⋮
Mimicking finite dimensional marginals of a controlled diffusion by simpler controls ⋮
Robust M-estimators in diffusion processes ⋮
A filtering model for Bayesian analysis of failure data contaminated by maintenance ⋮
Nonlinear filtering for image restoration ⋮
Optimal consumption and portfolio policies when asset prices follow a diffusion process ⋮
New explicit filters and smoothers for diffusions with nonlinear drift and measurements ⋮
Effects of financial innovations on market volatility when beliefs are heterogeneous ⋮
Consumption and portfolio turnpike theorems in a continuous-time finance model ⋮
Stetige stochastische Approximation ⋮
The Kalman filter ⋮
Continuous-time approximations for the nonlinear filtering problem ⋮
Information and filtering ⋮
Measure-valued processes in the control of partially-observable stochastic systems ⋮
Optimal stationary linear control of the Wiener process ⋮
Robust filtering for correlated multidimensional observations ⋮
A minimum principle for stochastic control problems with output feedback ⋮
Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage ⋮
Locally most powerful sequential tests for stochastic processes ⋮
Martingales and stochastic integrals in the theory of continuous trading ⋮
Estimation of Markov processes ⋮
Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique ⋮
Reverse-time diffusion equation models ⋮
Existence of optimal controls for a partially observed semimartingale ⋮
Estimation and control for linear, partially observable systems with non- Gaussian initial distribution ⋮
Pathwise smoothing of Markov processes with noisy observations ⋮
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case ⋮
On extremal solutions to stochastic control problems ⋮
Testing one-sided hypotheses for the mean of a Gaussian process ⋮
Parameter estimation in linear filtering ⋮
A system of non-linear functional differential equations arising in an equilibrium model of an economy with borrowing constraints ⋮
A partially observed control problem for Markov chains ⋮
Discrete-time stochastic adaptive control with small observation noise ⋮
Estimation for diffusion processes from discrete observation ⋮
Random stopping sets in a sequential analysis of random measures and fields ⋮
A continuous-time portfolio turnpike theorem ⋮
Controllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version) ⋮
On Bayesian nonparametric estimation for stochastic processes ⋮
Quantum stochastic calculus and quantum nonlinear filtering ⋮
Intertemporal issues associated with the control of macro-economic systems ⋮
Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe ⋮
Large deviations and the propagation of chaos for Schrödinger processes ⋮
Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters ⋮
Necessary conditions for nonlinear functionals of Gaussian processes to satisfy central limit theorems ⋮
On some filtering problems arising in mathematical finance ⋮
The maximal dominated subsets of a statistical experiment ⋮
Incomplete observation, filtering, and the home bias puzzle ⋮
Optimal filtering of discrete-time hybrid systems ⋮
Differentiable measures and the Malliavin calculus ⋮
A strong approximation theorem for stochastic recursive algorithms ⋮
A theory of optimal timing and selectivity ⋮
Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations ⋮
Probabilistic analysis on the splitting-shooting method for image transformations ⋮
Identification of a hereditary system with distributed delay ⋮
Decomposition and stability of linear systems with multiplicative noise ⋮
A utility based approach to information for stochastic differential equations ⋮
Periodic behavior of the stochastic Brusselator in the mean-field limit ⋮
Mortality and aging in a heterogeneous population: A stochastic process model with observed and unobserved variables ⋮
A note on continuous-time ELS ⋮
Recursive identification in continuous-time stochastic processes ⋮
Mimicking the one-dimensional marginal distributions of processes having an Ito differential ⋮
Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise ⋮
Filtering problems for conditionally linear systems with non-Gaussian initial conditions ⋮
Functional limit theorems for linear statistics from sequential ranks ⋮
Inference for thinned point processes, with application to Cox processes ⋮
Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes ⋮
Asymptotic statistical inference for a stochastic heat flow problem ⋮
The distribution of estimates of parameters of multidimensional stationary AR processes ⋮
Discrete time Galerkin approximations to the nonlinear filtering solution
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