Let and be independent Wiener processes, and consider the task of estimating a diffusion solving the stochastic DE dx t =f(x t )dt+dw t on the basis of noisy observations defined bydy t =x t dt+db t… Expand

A rearrangeable connecting network is one whose permitted states realize every assignment of inlets to outlets — that is, one in which it is possible to rearrange existing calls so as to put in any… Expand

We give an approach to optimal control of systems described by stochastic functional-differential equations of Ito’s type : $dx(t) = f(t,x,u(t,x))dt + dw(t))$, $0 \leqq t \leqq 1$, with a cost func...

The existence of admissible strategies $\gamma ( \cdot , \cdot )$ minimizing a function $E\int_0^1 {c(t,x,\gamma (t,x))dt} $ is studied, with $x = x( \cdot ,\omega )$ a continuous stochastic process,… Expand

A class of three-stage connecting networks proven rearrangeable by D. Slepian is considered. Bounds on the number of calls that must be moved are obtained by some simple new methods.

We find the explicit solution to several new problems in stochastic control, among them the finite-fuel problem of optimally tracking a standard Wiener process x+w t started at x by a nonanticipating… Expand