Synopses & Reviews
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.
Review
… 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
Praise for the first edition:
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.
--Professor Martynuk, Ukraine Academy of Sciences
About the Author
Table of Contents
Brownian motion and stochastic integrals; Stochastic differential equations; Linear stochastic differential equations; Stability of stochastic differential equations; Stochastic functional differential equations; Stochastic equations of neutral type; Backward stochastic differential equations; Stochastic oscillators; Applications to economics and finance; Stochastic neural networks; Stochastic delay population systems; Notes, references and index.