Stochastic Systems: Theory and Applications by V. S. Pugachev

Stochastic Systems: Theory and Applications Author: V. S. Pugachev
eBook Title: Stochastic Systems: Theory and Applications
ISBN10: 9810247427
ISBN13: 978-9810247423
Language: English
Publisher: World Scientific Pub Co Inc (January 2002)
Category: Science & Math
Subcategory: Mathematics
Size ePub vers.: 1314 kb
Size PDF vers.: 1518 kb
Other formats: cb7, odf, pdf, azw, ibooks, mobi
Rating: 3.8
Votes: 366

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.

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