Stochastic Differential Systems Analysis and Filtering. Translated by I. V. Sinitsyna. Translation editor: V. S. Pugachev.

Whilst this book deals with the applications of the mathematics of control theory, it takes particular account of the use of stochastic differential equations. Both linear and non- linear control systems are discussed, and there is detailed consideration of the filters to be found within such systems. The authors begin by laying down the basis of the mathematical theory encountered in control systems, discussing such topics as the elements of differential system theory, and the fundamentals of random function theory and random processes. They then proceed to discuss the theory of stochastic differential systems and their application to linear systems, stochastic differential equations, and methods for studying non-linear stochastic differential systems. In the last chapters, the authors consider the application of these theories and methods to the use of various types of filter. To help the reader, problems have been given at the end of each chapter.