Description

This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists.

Key Features

  • Has been revised and updated to cover the basic principles and applications of various types of stochastic systems
  • Useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists

Readership

Students and academics, for use as textbook; pure and applied mathematicians; statisticians and probabilists; engineers; information scientists; physicists; and economists

Table of Contents

  • Dedication
  • Preface to the Second Edition
  • Preface from the 1997 Edition
    • Acknowledgements
  • General Notation
    1. 1: Brownian Motions and Stochastic Integrals
      • 1.1 INTRODUCTION
      • 1.2 BASIC NOTATIONS OF PROBABILITY THEORY
      • 1.3 STOCHASTIC PROCESSES
      • 1.4 BROWNIAN MOTIONS
      • 1.5 STOCHASTIC INTEGRALS
      • 1.6 ITÔ’S FORMULA
      • 1.7 MOMENT INEQUALITIES
      • 1.8 GRONWALL-TYPE INEQUALITIES
    2. 2: Stochastic Differential Equations
      • 2.1 INTRODUCTION
      • 2.2 STOCHASTIC DIFFERENTIAL EQUATIONS
      • 2.3 EXISTENCE AND UNIQUENESS OF SOLUTIONS
      • 2.4 LP-ESTIMATES
      • 2.5 ALMOST SURELY ASYMPTOTIC ESTIMATES
      • 2.6 CARATHEODORY’S APPROXIMATE SOLUTIONS
      • 2.7 EULER–MARUYAMA’S APPROXIMATE SOLUTIONS
      • 2.8 SDE AND PDE: FEYNMAN–KAC’S FORMULA
      • 2.9 THE SOLUTIONS AS MARKOV PROCESSES
    3. 3: Linear Stochastic Differential Equations
      • 3.1 INTRODUCTION
      • 3.2 STOCHASTIC LIOUVILLE’S FORMULA
      • 3.3 THE VARIATION-OF-CONSTANTS FORMULA
      • 3.4 CASE STUDIES
      • 3.5 EXAMPLES
    4. 4: Stability of Stochastic Differential Equations
      • 4.1 INTRODUCTION
      • 4.2 STABILITY IN PROBABILITY
      • 4.3 ALMOST SURE EXPONENTIAL STABILITY
      • 4.4 MOMENT EXPONENTIAL STABILITY
      • 4.5 STOCHASTIC STABILIZATION AND DESTABILIZATION
      • 4.6 FURTHER TOPICS
    5. 5: Stochastic Functional Differential Equations
      • 5.1 INTRODUCTION
      • 5.2 EXISTENCE-AND-UNIQUENESS THEOREMS
      • 5.3 STOCHASTIC DIFFERENTIAL DELAY EQUATIONS
      • 5.4 EXPONENTIAL ESTIMATES
      • 5.5 APPROXIMATE SOLUTIONS
      • 5.6 STABILITY THEORY—RAZUMIKHIN THEOREMS
      • 5.7 STOCHASTIC SELF-STABILIZATION
    6. 6: Stochastic Equations of Neutral Type
      • 6.1 INTRODUCTIO

    Details

    No. of pages:
    440
    Language:
    English
    Copyright:
    © 2008
    Published:
    Imprint:
    Woodhead Publishing
    Print ISBN:
    9781904275343
    Electronic ISBN:
    9780857099402

    Reviews

    A helpful book for both experts and beginners in pure and applied mathematics, and in probability theory, systems dynamics, and control theory. An enjoyable read., (Review of the first edition) Professor Martynuk, Ukraine Academy of Sciences
    …a welcome and important addition to stochastic differential equations. …giving a clear presentation of the fundamental underpinnings of stochastic differential equations [including the] known theory. …also the development of new results and methods. …both the depth and breadth of the coverage are remarkable., Professor G.G. Yin, Wayne State University, USA