Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered.
Reviews of the modern probability and random processes theories and the Ito stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter.
This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.
- ISBN10 0849380758
- ISBN13 9780849380754
- Publish Date 12 July 1995
- Publish Status Out of Print
- Out of Print 30 March 2022
- Publish Country US
- Publisher Taylor & Francis Inc
- Imprint CRC Press Inc
- Format Hardcover
- Pages 400
- Language English