Stochastic Analysis and Related Topics VIII Silivri Workshop in Gazi
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Series Editors Thomas Liggett Charles Newman Loren Pitt Sidney I. Resnick
Stochastic Analysis and Related Topics VIII Silivri Workshop in Gazimagusa (North Cyprus), September 2000 UlugCapar Ali Siileyman Dstiinel Editors
Springer Basel AG
Editors' addresses:
Ulug(:apar Department of Mathematics Eastern Mediterranean University G. Magusa Mersin 10 Turkey e-mail: [email protected]
Ali Siileyman Ustiinel ENST Departement Informatique et Reseaux 46 rue Barrault 75013 Paris France e-mail: [email protected]
2000 Mathematics Subject Classification 60Gxx, 92C99, 93E20
A CIP catalogue record for this book is available from the Library of Congress, Washington D.C., USA
Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at .
ISBN 978-3-0348-9406-7 ISBN 978-3-0348-8020-6 (eBook) DOI 10.1007/978-3-0348-8020-6 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, broadcasting, reproduction on microfilms or in other ways, and storage in data banks. For any kind of use permission of the copyright owner must be obtained.
© 2003 Springer Basel AG Originally published by Birkhăuser Verlag Basel in 2003 Softcover reprint ofthe hardcover lst edition 2003 Printed on acid-free paper produced from chlorine-free pulp. TCF lSBN 978-3-0348-9406-7 987654321
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Contents Foreword .................................................................... vii
A.E. Bashirov Stochastic Control and Games Under Arbitrarily Dependent Noises ...... 1 A. Bensoussan and J. F'rehse Stochastic Games with Risk Sensitive Payoffs for N Players ............. 29
u.
9apar and H. Aktuglu An Overall View of Stochastics in Colombeau Related Algebras ......... 67
A.B. Cruzeiro and Kai-Nan Xiang On Metrics for Tangent Processes on the Path Space ................... 91 E. Hausenblas Weak Approximation for Semilinear Stochastic Evolution Equations ... 111 Y. Ishikawa Exponential Type Decrease of the Density for Jump Processes with Singular Levy Measures in Small Time ................................ 129 N. Mahmudov Controllability and Observability of Linear Stochastic Systems in Hilbert Spaces ...................................................... 151 P. Malliavin and U. Taneri Exact Computation of Spectral Densities for a Langevin Dynamic Modelling the Relaxation of a Protein near its Equilibrium ............ 169 N. Privault Quasi-invariance for Levy Processes under Anticipating Shifts ......... 181 A.S. Ustunel Gaussian Measure of the Intersection of Two Absolutely Convex Sets .. 203
Foreword This volume contains ten selected articles presented at the 8th Gazimagusa (Famagusta-) Silivri Workshop on Stochastic Analysis and Related Topics, September 18-27, 2000. Silivri Workshops were initiated in 1986 and since then have become an
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