This text develops the theory of systems of stochastic differential equations and presents applications in probability, partial differential equations, and stochastic control problems. Originally published in 2 volumes, it combines a book of basic theory with a book of applications. Familiarity with elementary probability is the sole prerequisite. 1975 edition. Reprint of the Academic Press, Inc., New York, 1975 edition.
Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications by Harald Cramér, M. Ross Leadbetter This graduate-level text offers a comprehensive account of the general theory of stationary processes and develops the foundations of the general theory of stochastic processes, examines processes with a continuous-time parameter, more. 1967 edition.
Optimal Control and Estimation by Robert F. Stengel Graduate-level text provides introduction to optimal control theory for stochastic systems, emphasizing application of basic concepts to real problems.
Nonstandard Methods in Stochastic Analysis and Mathematical Physics by Sergio Albeverio, Jens Erik Fenstad, Raphael Høegh-Krohn, Tom Lindstrøm Two-part treatment begins with a self-contained introduction to the subject, followed by applications to stochastic analysis and mathematical physics. "A welcome addition." — Bulletin of the American Mathematical Society. 1986 edition.
Introduction to Stochastic Control Theory by Karl J. Åström Exploration of stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria; covers discrete time and continuous time systems. 1970 edition.
Ordinary Differential Equations by Edward L. Ince Among the topics covered in this classic treatment are linear differential equations; solution in an infinite form; solution by definite integrals; algebraic theory; Sturmian theory and its later developments; much more. "Highly recommended" — Electronics Industries.
