Titlebook: Stochastic Systems: The Mathematics of Filtering and Identification and Applications; Proceedings of the N Michiel Hazewinkel,Jan C. Willem

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Qualitative Theory of Real Noise Excited SystemsSome of the problems and results of the qualitative theory of stochastic dynamical systems (SDS) under the influence of real noise are sketched. Reference is given to papers where details can be found. General references are ARNOLD [5] and ARNOLD and KLIEMANN [6].

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Stochastic Models of Computer NetworksThis paper reviews some recent advances in the use of queueing network models for computers and communications networks. It emphasizes the relation between the martingale approach and quasi-reversibility. A brief discussion of optimal design and control is included.

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Ergodic Theory of Linear Parameter-Excited SystemsUsing Oseledec’ multiplicative ergodic theorem we prove the existence of a fundamental system of solutions of x = A(t)x, A (·) stationary, allowing a Floquet type decomposition into a stationary angular part and a growing radial one. For triangular matrices the decomposition is explicitely calculated as a functional of A.

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1389-2185 control. It was the purpose of the Advanced Study Institute of which the present volume constitutes the proceedings to review recent developments in this area with par­ ticular emphasis on identification and filtering and to do so in such a manner that the material is accessible to a wide variety o

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An Introduction to Nonlinear Filtering conditional statistics and of the conditional measure of x. given y., 0 ≤ s ≤ t are given; these equations are the analogs for the filtering problem of the kolmogorov forward equations. Several examples are discussed. Finally, a less complicated evolution equation is derived by considering an “unnormalized” conditional measure.