scientific article; zbMATH DE number 3576395

Publication date 1978

General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to probability theory (60-00) Stochastic processes (60Gxx) Stochastic analysis (60Hxx) Markov processes (60Jxx) Sequential statistical methods (62Lxx) Inference from stochastic processes (62Mxx) Survival analysis and censored data (62Nxx) Stochastic systems and control (93Exx) Communication theory (94A05)

Cited in

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Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Hypotheses testing: Poisson versus stress-release
Boundary value problems arising in Kalman filtering
Optimal consumption and investment under partial information
Risk-hedging in real estate markets
On some abstract stochastic differential equations
Parameter estimation for point processes with partial observations: A filtering approach
Nonlinear filtering of systems governed by Ito differential equations with jump parameters
Convergence of thinning processes using compensators
A note on the conditional Fatou lemma
Strong consistency of least squares estimates in linear regression models driven by semimartingales
Continuity of filtrations of sigma algebras
Estimating a parametric trend component in a continuous-time jump-type process
Time reversal and stationarity of infinite-dimensional Markov birth-and- death processes
Nonlinear data observability and information
Estimation of parameters for Hilbert space-valued partially observable stochastic processes
A note on the exponentiality of total hazards before failure
Rank tests for matched pair experiments with censored data
Random time change and an integral representation for marked stopping times
On stochastic observability and controllability
Locally most powerful sequential tests for stochastic processes
A partially observed Poisson process
An existence result for a linear abstract stochastic equation in Hilbert spaces
A Kalman filtering technique for certain Markov chains
Adaptive control in the scalar linear-quadratic model in continuous time
Conjugate priors for exponential-type processes
Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
Some theorems on conditional Pasta: A stochastic integral approach
Local asymptotic mixed normality for semimartingale experiments
Comparison of location models for stochastic processes
Capacity of mismatched Gaussian channels with and without feedback
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
Tracking of signals and its derivatives in Gaussian white noise
Law equivalence of stochastic linear systems
Large deviations and stationary measures for interacting particle systems
Singularity of two diffusions on \({\mathcal C}_ \infty\)
Filtering of derived point processes
About Gaussian schemes in stochastic approximation
Filtering problems for conditionally linear systems with non-Gaussian initial conditions
Local scale models. State space alternative to integraded GARCH processes
Parameter estimation for nearly nonstationary AR(1) processes
Randomised sequential probability ratio tests for stochastic processes
Optimum design of measurement channels and control policies for linear- quadratic stochastic systems
An infinite expansion for nonlinear filtering
New results on the Gaussian projection filter with small observation noise
Transformations of Lebesgue-Stieltjes integrals
A replacement model with general age-dependent failure rates
Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
Nonlinear filtering problem with contamination
Coupling with compensators
Sequential estimation for a family of counting processes in the nuisance parameter case
Stability results for a general class of interacting point processes dynamics, and applications
Asymptotic reliability of a linearly connected system with an infinite number of components
Time and Palm stationarity of repairable systems
Suboptimal Kalman filtering for linear systems with Gaussian-sum type of noise
Method of moments estimators and multi-step MLE for Poisson processes
Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
Statistical inference for SPDEs: an overview
On parameter estimation for cusp-type signals
Filtration of stationary Gaussian statistical experiments
Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps
Regularization under diffusion and anticoncentration of the information content
Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters
Optimal trading strategy for an investor: the case of partial information
Filtering via estimating functions
Poisson convergence in two dimensions with application to row and column exchangeable arrays
On the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance index
Adaptive control of continuous-time linear stochastic systems
Optimal transmission of a Gaussian vector through a Gaussian-white-noise vector channel with feedback
Sequential testing problems for Poisson processes.
Information processes for semimartingale experiments
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model
Non-parametric estimation of lifetime and repair time criteria for a semi-Markov process
Optimality of the CUSUM procedure in continuous time.
Local asymptotic quadraticity of stochastic process models based on stopping times
Drift estimation of a certain class of diffusion processes from discrete observation
Modelling of repairable systems with various degrees of repair
Estimated inflation rate, consumption and portfolio decision
Hypothesis testing in a fractional Ornstein-Uhlenbeck model
Asymptotically optimal parameter estimation under communication constraints
A Brownian optimal switching problem under incomplete information
Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
Hardy's inequality and its descendants: a probability approach
Learning about profitability and dynamic cash management
The law of iterated logarithm for the estimations of diffusion-type processes
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
Hypothesis testing for stochastic PDEs driven by additive noise
Stochastic Volterra equations of nonscalar type in Hilbert space
Parameter estimation in an alternating repair model
A term structure model with preferences for the timing of resolution of uncertainty
A survey of numerical methods for nonlinear filtering problems
A truncated estimation method with guaranteed accuracy
On approximation of the backward stochastic differential equation
Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
A new instrumental variable estimation for diffusion processes
Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
The maximum principle for stochastic differential systems with general cost functional
On uniform integrability of random variables
Statistical aspects of the fractional stochastic calculus

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