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OverviewThe 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. Full Product DetailsAuthor: Vasile Dragan , Toader Morozan , Adrian-Mihail StoicaPublisher: Springer Imprint: Springer Dimensions: Width: 23.40cm , Height: 1.80cm , Length: 15.60cm Weight: 0.467kg ISBN: 9780387511047ISBN 10: 0387511040 Pages: 332 Publication Date: 03 December 2008 Audience: General/trade , General Format: Undefined Publisher's Status: Unknown Availability: Out of stock ![]() Table of ContentsReviews<p>From the reviews: <p> The subject of the book is related to the development of a theory of linear stochastic systems including both white noise and jump Markov perturbations, and to the development of analysis and design methods for linear-quadratic control, robust stabilization and disturbance attenuation problems. The book addresses graduate students and researchers in advanced control engineering, applied mathematics, mathematical systems theory and finance. (Vladimir Sobolev, Zentralblatt MATH, Vol. 1101 (3), 2007)<p> This book is concerned with robust control of stochastic systems. One of the main features is its coverage of jump Markovian systems. Overall, this book presents results taking into consideration both white noise and Markov chain perturbations. It is clearly written and should be useful for people working in applied mathematics and in control and systems theory. The references cited provide further reading sources. (George Yin, Mathematical Reviews, Issue 2007 Author InformationTab Content 6Author Website:Countries AvailableAll regions |