Publisher's Synopsis
This volume contains 22 articles based on papers presented at a workshop on applied stochastic analysis held at Imperial College, London, in April 1989. They concern applications of stochastic analysis to a variety of applied problems centred around optimization of dynamic systems under uncertainty. Topics covered include characterization and approximation for stochastic system models, problems in stochastic control theory, optimization of systems modelled by piecewise deterministic Markov processes, properties of stochastic models in finance, and various facets of non-linear filtering theory and system identification. The volume provides an up-to-date view of the increasingly sophisticated interaction between probabilistic techniques and problems arising in these applications.
