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Stochastic differential systems. Analysis and filtering. Transl. from the Russian by I. V. Sinitsyna, ed. by V. S. Pugachev. (English) Zbl 0616.60053
Chichester etc.: John Wiley & Sons. XX, 549 p.; £49.50 (1987).
Last year I had the pleasure to prepare a review of the original Russian edition of this book (Nauka 1985), see Zbl 0576.60045). The English translation was published only 2 years later. This corresponds to the great interest in the subjects presented in the book. Indeed, stochastic differential equations and systems are used as mathematical models for the description of many complicated phenomena in engineering practice, physics, chemistry, biology, etc. The material chosen, the style of presentation and the large number of exercises with their solutions make the book suitable for a broad audience. In particular it can be used for preparing and delivering courses of lectures in stochastic differential systems as well as for selfeducation.
The misprints in the original Russian edition are removed in the present English translation. All references are given by the data available for the English-speaking readers.
Reviewer: J.M.Stoyanov

MSC:
60Hxx Stochastic analysis
60-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
Citations:
Zbl 0576.60045