Statistics and Control of Stochastic Processes (Steklov Seminar, vol. 2, 1985-86), 1989, 270 pp., ISBN 0-911575-51-0, $84.00

Selected papers presented at the Seminar on Statistics and Control of Stochastic Processes at the prestigious Steklov Institute of Mathematics in Moscow, 1985-1986, featuring new work on Limit Theorems (I.G. Grama, V.P. Borovikov, and D.O. Chikin); Stochastic Differential Systems (I.I. Gikhman, N.V. Krylov, and A.Yu. Veretennikov, and others); Stochastic Control (A.A. Yushkevich, E.A. Fainberg, S.V. Anulova and M.B. Safonov); Statistics of Random Processes (B.S. Darkhovskij, O. Enchev, and Yu.A. Kutoyants). The Seminar is under the leadership of A.N. Shiryaev and N.V. Krylov.
 

Preface ..... vii

S.A. Anulova and M.V. Safonov
Control of a Diffusion Process in a Region with Fixed Reflection on the Boundary ..... 1

A.D. Bendikov and I.V. Pavlov
Some Operators on Martingale Spaces with Mixed Norm ..... 17

V.P. Borovikov
Invariance Principle for Empirical Fields Based on General Spacings ..... 31

D.O. Chikin
Martingale Methods for Proving Central Limit Theorems for Dependent Variables ..... 41

B.S. Darkhovskij
A posteriori Estimation of Change Times of Binary Random Sequence Parameters ..... 69

O. Enchev
Doob-Meyer Decomposition for Processes Which Need Not Be Semimartingales (L² Approach) ..... 79

E.A. Feinberg
Parametric Stochastic Dynamic Programming ..... 103

I.I. Gikhman
Solutions to Stochastic Differential Equations without Second Moments ..... 121

I.G. Grama
The Rate of Convergence in the Functional Central Limit Theorem for Semimartingales ..... 141

A. Grusho
Poisson Limit Theorems for Some Classes of Statistics ..... 157

A.I. Komech and N.E. Ratanov
Stabilization of Space-Time Stochastic Solutions of a Wave Equation ..... 171

N.V. Krylov
A Supermartingale Characterization of a Class of Stochastic Integrals ..... 189

Yu. A. Kutoyants
Efficient Nonparametric Estimation of Trend Coefficients ..... 197

S. Ya. Makhno
Weak Convergence of Solutions of Stochastic Equations ..... 207

M.S. Moskaleva
Convergence of High Ejection Distributions of Gaussian Random Fields ..... 225

A. Yu. Veretennikov
Probability Density of Solutions of Stochastic Differential Equations ..... 233

A.A. Yushkevich
A Note on the Ionesku-Tulcea Theorem for Universally Measurable Kernels ..... 239
 

Transliteration Table (Russian-English) ..... 247