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1

Existence of optimal stochastic controls under partial observation

Norbert Christopeit

Journal:

Probability Theory and Related Fields

Year:

1980

Language:

english

File:

PDF, 521 KB

english, 1980

2

Necessary Optimality Conditions with Application to a Variational Problem

Christopeit, Norbert

Journal:

SIAM Journal on Control and Optimization

Year:

1977

Language:

english

File:

PDF, 1.35 MB

english, 1977

3

On the existence and characterization of arbitrage–free measure in contingent claim valuation

Christopeit, Norbert, Musiela, Marek

Journal:

Stochastic Analysis and Applications

Year:

1994

Language:

english

File:

PDF, 536 KB

english, 1994

4

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Girsanov and Feynmann-Kac formulas in the discrete stochastic mechanics

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1986

Language:

english

File:

PDF, 310 KB

english, 1986

5

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Limit theorems for stochastic differential equations and stochastic flows of diffeomorphisms

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 793 KB

english, 1985

6

On the existence of weak solutions to stochastic differential equations with degenerate diffusion

Norbert Christopeit

Journal:

Stochastic Processes and their Applications

Year:

1984

Language:

english

File:

PDF, 859 KB

english, 1984

7

Linear minimax estimation with ellipsoidal constraints

Norbert Christopeit, Kurt Helmes

Journal:

Acta Applicandae Mathematicae

Year:

1996

Language:

english

File:

PDF, 481 KB

english, 1996

8

Local Partitioned Regression

Norbert Christopeit, Stefan G. N. Hoderlein

Journal:

Year:

2006

Language:

english

File:

PDF, 271 KB

english, 2006

9

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Existence of optimal markovian controls for degenerate diffusions

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 466 KB

english, 1985

10

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Optimal control of reflected diffusion processes : An example of state constraints

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 262 KB

english, 1985

11

A Stochastic Control Model with Chance Constraints

Christopeit, Norbert

Journal:

SIAM Journal on Control and Optimization

Year:

1978

Language:

english

File:

PDF, 1.09 MB

english, 1978

12

Optimal Stochastic Control with Special Information Patterns

Christopeit, Norbert

Journal:

SIAM Journal on Control and Optimization

Year:

1980

Language:

english

File:

PDF, 1.36 MB

english, 1980

13

Discrete Approximation of Continuous Time Stochastic Control Systems

Christopeit, Norbert

Journal:

SIAM Journal on Control and Optimization

Year:

1983

Language:

english

File:

PDF, 1.95 MB

english, 1983

14

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Current results and issues in stochastic control

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 1.41 MB

english, 1985

15

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || On invariant measures of filtering processes

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 522 KB

english, 1989

16

Limited risk control of the ornstein-uhleeck process

Christopeit, Norbert, Helmes, Kurt

Journal:

Mathematische Operationsforschung und Statistik Series Optimization

Year:

1980

Language:

english

File:

PDF, 469 KB

english, 1980

17

Quasi-least-squares estimation in semimartingale regression models

Christopeit, Norbert

Journal:

Year:

1986

Language:

english

File:

PDF, 563 KB

english, 1986

18

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Control of piecewise-deterministic processes via discrete-time dynamic programming

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 342 KB

english, 1985

19

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || General functional limit theorems for semimartingales

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 293 KB

english, 1989

20

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Adaptive tracking of dynamic airborne vehicles based on (flir) image plane intensity data

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 935 KB

english, 1985

21

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Integration by parts and the Malliavin calculus

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 343 KB

english, 1989

22

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Stability under small perturbations

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 168 KB

english, 1985

23

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || A finitely additive version of Poincare's recurrence theorem

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 153 KB

english, 1985

24

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || On the smooth fit boundary conditions in the optimal stopping problem for semimertingales

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 354 KB

english, 1989

25

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Stochastic controllability and stochastic Lyapunov functions with applications to adaptive and nonlinear systems

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 972 KB

english, 1989

26

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Extended stochastic lyapunov functions and recursive algorithms in linear stochastic systems

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 642 KB

english, 1989

27

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Pathwise stability of random differential equations and the solution of an adaptive control related problem

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 323 KB

english, 1989

28

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Performance and robustness in adaptive control of linear stochastic systems

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 374 KB

english, 1989

29

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Explicit solution of a general consumption/investment problem

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 247 KB

english, 1985

30

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Filtering with observations on a Riemannian symmetric space

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 415 KB

english, 1985

31

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Nonlinear filtering for dynamic systems with singular perturbations

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 167 KB

english, 1989

32

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || On recursive adaptive filtering: Linear case

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 232 KB

english, 1989

33

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || A solution to the partially observed control problem of linear systems, with non-quadratic cost

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 373 KB

english, 1985

34

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || The rate of convergence and the asymptotic normality of an estimator in a controlled investment model with time-varying parameters

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 353 KB

english, 1989

35

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Polygonal fields: A new class of markov fields on the plane

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 671 KB

english, 1989

36

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Strictly stationary processes with the linear prediction property

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 384 KB

english, 1989

37

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Order determination and adaptive control of ARX models using the PLS criterion

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 364 KB

english, 1989

38

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || A generalization of Ito's formula

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 194 KB

english, 1989

39

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Adaptive control of some partially observed linear stochastic systems

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 345 KB

english, 1989

40

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || The adjoint process in stochastic optimal control

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 346 KB

english, 1989

41

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Nowhere Radon smooth measures, perturbations of Dirichlet forms and singular quadratic forms

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 667 KB

english, 1989

42

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Some results on Newton equation with an additional stochastic force

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 547 KB

english, 1989

43

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Multiparameter martingale and Markov process

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 365 KB

english, 1989

44

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || Invariance of cones and comparison results for some classes of diffusion processes

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 440 KB

english, 1989

45

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 126 || On dirichlet forms on topological vector spaces: Existence and maximality

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1989

Language:

english

File:

PDF, 847 KB

english, 1989

46

WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE

Christopeit, Norbert

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 203 KB

english, 2009

47

Local Partitioned Regression

Norbert Christopeit and Stefan G. N. Hoderlein

Journal:

Year:

2006

Language:

english

File:

PDF, 2.62 MB

english, 2006

48

Weak Convergence of Nonlinear Transformations of Integrated Processes: The Multivariate Case

Norbert Christopeit

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 1.39 MB

english, 2009

49

A Necessary and Sufficient Condition for the Convergence of a Sum of Weighting Random Variables to a Normal Distribution

Norbert Christopeit and Hans Joachim Werner

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 244 KB

english, 2001

50

[Lecture Notes in Control and Information Sciences] Stochastic Differential Systems Volume 78 || Stationary control of brownian motion in several dimensions

Christopeit, Norbert, Helmes, Kurt, Kohlmann, Michael

Year:

1985

Language:

english

File:

PDF, 109 KB

english, 1985

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