Stochastic Systems ― Theory and Applications

This book presents the general theory and basic methods of linear and nonlinear stochastic systems (StS). It 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. Applications in mathematics and mechanics, physics and biology, control and information processing, and finance are discussed. About 500 exercises and problems are provided. The authors are affiliated with the Institute for Informatics Problems at the Russian Academy of Sciences. Annotation c. Book News, Inc., Portland, OR (booknews.com)