Titlebook: Stochastic Analysis, Filtering, and Stochastic Optimization; A Commemorative Volu George Yin,Thaleia Zariphopoulou Book 2022 The Editor(s)

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Pathwise Approximations for the Solution of the Non-Linear Filtering Problem,arlier work of Clark [2] and Davis [10, 11] and prove their robustness property. In particular, we show that the high order discretised filtering functionals can be represented by Lipschitz continuous functions defined on the observation path space. This property is important from the practical poin

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Estimating the Matthew Effects: Switching Pareto Dynamics,y are sometimes generated by counting processes whose rate depends on external factors. In turn, these factors are modelled by a finite state Markov chain .. New filters are derived which estimate . together with other parameters of the model.

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,Optimal Couplings on Wiener Space and An Extension of Talagrand’s Transport Inequality,ined in terms of the Cameron-Martin norm, and where .(.|.) denotes the relative entropy with respect to Wiener measure .. Talagrand’s original proof takes a bottom-up approach, using finite-dimensional approximations. As shown by Feyel and Üstünel in [3] and Lehec in [10], the inequality can also be

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Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation,optimal for the same agent in the future. If the agent is aware of this intra-personal conflict but unable to commit herself in the future to following the optimal plan today, the rational strategy for her today is to reconcile with her future selves, namely to correctly anticipate her actions in th

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