The book covers the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations. It includes detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations. Systematic presentation leads the reader in a natural way to the original results. New theoretical results accompanied by detailed numerical examples, and the book proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations.
- ISBN10 0387305238
- ISBN13 9780387305233
- Publish Date 21 August 2006 (first published 1 January 2006)
- Publish Status Out of Print
- Out of Print 18 October 2013
- Publish Country US
- Imprint Springer-Verlag New York Inc.
- Edition 2006 ed.
- Format Hardcover
- Pages 328
- Language English