Edition 
Second edition. 
Physical description 
1 online resource (xv, 442 pages) : illustrations. 
Series 
Mathematical concepts and methods in science and engineering ; volume 50.

Contents 
Preliminaries to Probability Theory and Stochastic Differential Equations  Linear Differential Equations with Positive Evolution on Ordered Banach Spaces  Exponential Stability in Mean Square  Structural Properties of Linear Stochastic Systems  A Class of Nonlinear Differential Equations on an Ordered Linear Space of Symmetric Matrices with Applications to Riccati Differential Equations of Stochastic Control  Linear Quadratic Optimization Problems for Linear Stochastic Systems  Stochastic H₂ Optimal Control  Stochastic Version of Bounded Real Lemma and Applications  Robust Stabilization of Linear Stochastic Systems. 
Bibliography 
Includes bibliographical references. 
Summary 
This second edition of Mathematical Methods in the Robust Control of Linear Stochastic Systems includes a large number of recent results in the control of linear stochastic systems. More specifically, the new results presented are:  A unified and abstract framework for Riccati type equations arising in the stochastic control  Stability and control problems for systems perturbed by homogeneous Markov processes with infinite number of states  MixedH2 / Hcontrol problem and numerical procedures  Linear differential equations with positive evolution on ordered Banach spaces with applications for stochastic systems including both multiplicative white noise and Markovian jumps represented by a Markov chain with countable infinite set of states  Kalman filtering for stochastic systems subject both to state dependent noise and Markovian jumps  Hreduced order filters for stochastic systems The book will appeal to graduate students, researchers in advanced control engineering, finance, mathematical systems theory, applied probability and stochastic processes, and numerical analysis. From Reviews of the First Edition: This book is concerned with robust control of stochastic systems. One of the main features is its coverage of jump Markovian systems. Overall, this book presents results taking into consideration both white noise and Markov chain perturbations. It is clearly written and should be useful for people working in applied mathematics and in control and systems theory. The references cited provide further reading sources. (George Yin, Mathematical Reviews, Issue 2007 m) This book considers linear time varying stochastic systems, subjected to white noise disturbances and system parameter Markovian jumping, in the context of optimal control robust stabilization, and disturbance attenuation. The material presented in the book is organized in seven chapters. The book is very well written and organized. is a valuable reference for all researchers and graduate students in applied mathematics and control engineering interested in linear stochastic time varying control systems with Markovian parameter jumping and white noise disturbances. (Zoran Gajic, SIAM Review, Vol. 49 (3), 2007) 
Notes 
Description based on print version record. 
Other author 
Morozan, Toader, author.


Stoica, Adrian, author.

Subject 
Robust control  Mathematical models.


Linear systems.


Stochastic systems.


Lineaire systemen. 

Stochastische systemen. 

Controleleer. 

Processus stochastiques. 

Probabilit⥳. 

Electronic books. 
ISBN 
9781461486633 (electronic bk.) 

1461486637 (electronic bk.) 

9781461486626 
Standard Number 
10.1007/9781461486633 
