Statistics and Control of Stochastic Processes (Steklov Seminar, vol. 1, 1984), 1985, 575 pp., ISBN 0-911575-18-9, $70.00

Papers presented at the Seminar on Statistics and Control of Stochastic Processes at the Steklov Institute of Mathematics in Moscow, featuring recent research in the Soviet Union in this important area. Covers a variety of topics, including Sequential Analysis, Filtering, Stochastic Control and Stochastic Calculus (Stochastic Differential Systems, Mantingales). Volume is dedicated to A.N. Shiryaev on his 50th birthday.
 

S.V. Anulova
The Bellman Equation in an Optimal Control Problem for a Diffusion Process in a Region with a Reflecting Boundary ..... 1

R.J. Chitashvili and N.V. Elbakidze
Optimal Stopping by Two Players ..... 10

B.S. Darkhovskij and G.G. Magaril-Illyaev
A Linear Minimax Estimate of a Periodic Function in White Noise ..... 54

E.A. Fainberg and I.M. Sonin
Persistently Nearly Optimal Strategies in Stochastic Dynamic Programming ..... 69

L.I. Gal’chuk
Gaussian Semimartingales ..... 102

I.I. Gikhman
On the Structure of Two-Parameter Diffusion Fields ..... 122

L. Giraitis and D. Surgailis
A Limit Theorem for a Triangular Array of Symmetric Statistics ..... 147

B. Grigelionis
Multiple Random Time Changes of Semimartingales ..... 167

M.L. Kleptsina and A.Yu. Veretennikov
On Filtering and Properties of Conditional Laws of Ito-Volterra Processes ..... 179

N.V. Krichagina, R.Sh. Liptser, and E.Ya. Rubinovich
Kalman Filter for Markov Processes ..... 197

N.V. Krylov
Once More About the Connection Between Elliptic Operators and Ito’s Stochastic Equations ..... 214

Yu. A. Kutoyants
On Nonparametric Estimation of Trend Coefficients in a Diffusion Process ..... 230

N.L. Lazrieva
Weak Convergence of Semimartingales ..... 251

V.A. Lebedev
On Infinite-Dimensional Stochastic Integrals ..... 277

R.Sh. Liptser
On a Functional Limit Theorem for Finite State Space Markov Processes ..... 305

V.K. Malinovskij
On Some Asymptotic Relations and Identities for Harris Recurrent Markov Chains ..... 317

A.V. Mel’nikov and D.I. Hadjiev
Boundary Value Problems for Gaussian Martingales ..... 337

R. Mikulevichyus
Necessary and Sufficient Conditions for Convergence to Singular Processes ..... 349

T.P. Miroshnichenko
A Test for Minimizing the Maximum Expectation of Observations with Delay ..... 370

M. Nikunen and E. Valkeila
Metric Distances Between Counting Processes ..... 377

A.A. Novikov
Consistency of Least Squares Estimates in Regression Models with Martingale Errors ..... 389

B.L. Rozovskij
Nonnegative L₁ -solutions of Second Order Stochastic Parabolic Equations with Random Coefficients ..... 410

M.G. Shur
Strong Limit Theorems for Self-Adjoint Transition Operators ..... 428

A.R. Stefanyuk
A Method for Estimating Probability Density ..... 451

A.I. Yashin
Dynamics of Survival Analysis: Conditional Gaussian Property Versus the Cameron-Martin Formula ..... 466

O.K. Zakusilo
Markov Drift Processes ..... 486