Approximation and Weak Convergence Methods for Random Processes with Applications to Stochastic Systems Theory (Signal Processing, Optimizat

Product Description

Control and communications engineers, physicists, and probability theorists, among others, will find this book unique. It contains a detailed development of approximation and limit theorems and methods for random processes and applies them to numerous problems of practical importance. In particular, it develops usable and broad conditions and techniques for showing that a sequence of processes converges to a Markov diffusion or jump process. This is useful when the natural physical model is quite complex, in which case a simpler approximation (a diffusion process, for example) is usually made. The book simplifies and extends some important older methods and develops some powerful new ones a…