Stochastic Undergraduate

This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.

This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.

In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006.