Topics in stochastic analysis and nonparametric estimation / Pao-Liu Chow, Boris Mordukhovich, George Yin

Papers from the Conference on Asymptotic Analysis in Stochastic Processes, Nonparametric Estimation, and Related Problems held at Wayne State University, Detroit, MI, September 15–17, 2006. Contents: Mark Freidlin and Alexander Wentzell, Some recent results on averaging principle (1–19); Fima Klebaner and Robert Liptser, Cramer's theorem for nonnegative multivariate point processes with independent increments (21–28); Leonid Bogachev, Gregory Derfel, Stanislav Molchanov and John Ockendon, On bounded solutions of the balanced generalized pantograph equation (29–49); Harold J. Kushner, Numerical methods for non-zero-sum stochastic differential games: convergence of the Markov chain approximation method (51–84); Ildar A. Ibragimov, On the estimation of an analytic spectral density outside of the observation band (85–103); Yuri Golubev [Yuri K. Golubev], On oracle inequalities related to high dimensional linear models (105–122); Oleg V. Lepski [O. V. Lepskiĭ] and Christophe F. Pouet, Hypothesis testing under composite functions alternative (123–150); Nicolai V. Krylov [N. V. Krylov], On parabolic PDEs and SPDEs in Sobolev spaces W2P without and with weights (151–197); Sergey V. Lototsky and Boris L. Rozovskii, Stochastic parabolic equations of full second order (199–210)