Stochastic Dynamics, Filtering and Optimization / Debasish Roy & G.Visweswara Rao

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argeted at graduate students, researchers and practitioners in the field of science and engineering, this book gives a self-contained introduction to a measure-theoretic framework in laying out the definitions and basic concepts of random variables and stochastic diffusion processes. It then continues to weave into a framework of several practical tools and applications involving stochastic dynamical systems. These include tools for the numerical integration of such dynamical systems, nonlinear stochastic filtering and generalized Bayesian update theories for solving inverse problems and a new stochastic search technique for treating a broad class of non-convex optimization problems. MATLAB® codes for all the applications are uploaded on the companion website. Applications to dynamical systems in science, engineering and recursive search algorithms are covered in depth
Important topics including Radon-Nikodym derivatives and Girsanov theorems with emphasis on Ito diffusion processes are discussed comprehensively
MATLAB® codes for all the applications are available on the companion website for both students and instructors