Stochastic Systems: Theory and Applications

Pugachev, V S,Sinitsyn, Igor

ISBN 10: 9810247427 / ISBN 13: 9789810247423

Published by World Scientific Publishing Comp, 2002

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Synopsis:

This book presents the general theory and basic methods of linear and nonlinear stochastic systems (StS) i.e. dynamical systems described by stochastic finite- and infinite-dimensional differential, integral, integrodifferential, difference etc equations. The general StS theory is based on the equations for characteristic functions and functionals. The book outlines StS structural theory, including direct numerical methods, methods of normalization, equivalent linearization and parametrization of one- and multi-dimensional distributions, based on moments, quasimoments, semi-invariants and orthogonal expansions. Special attention is paid to methods based on canonical expansions and integral canonical representations. About 500 exercises and problems are provided. The authors also consider applications in mathematics and mechanics, physics and biology, control and information processing, operations research and finance.

Language Notes: Text: English (translation)
Original Language: Russian

Bibliographic Details

Title: Stochastic Systems: Theory and Applications
Publisher: World Scientific Publishing Comp
Publication Date: 2002
Binding: hardcover
Condition: Very Good