Description:
This book provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps. These subjects are typically covered independently.
Review Quotes:
From the reviews:
"This monograph deals with the control theory of linear discrete-time stochastic systems subject to multiplicative white noise and to Markov jumping, as arising in many engineering areas, such as communications, fault detection and isolation, robust control, stochastic filtering navigation as wells as in finance, economics and biology. ... The theoretical developments are illustrated by several examples. ... The book is suitable for advanced courses in robust control of discrete-time stochastic systems, where a good knowledge of probability theory and linear control systems is needed." (Kurt Marti, Zentralblatt MATH, Vol. 1183, 2010)
"The book is dedicated to control theory of linear discrete-time stochastic systems perturbed by both multiplicative white noise and Markov jumps. ... The book is recommended to graduate students and researchers in the field of applied mathematics and stochastic control."--- (Pavel Pakshin, Mathematical Reviews, Issue 2011 d)