Stochastic processes and diffusion theory are the mathematical
underpinnings of many scientific disciplines, including statistical
physics, physical chemistry, molecular biophysics, communications
theory and many more. Many books, reviews and research articles
have been published on this topic, from the purely mathematical to
the most practical.
This book offers an analytical approach to stochastic processes
that are most common in the physical and life sciences, as well as
in optimal control and in the theory of filltering of signals from
noisy measurements. Its aim is to make probability theory in
function space readily accessible to scientists trained in the
traditional methods of applied mathematics, such as integral,
ordinary, and partial differential equations and asymptotic
methods, rather than in probability and measure theory.
General
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