System Control and Rough Paths

System Control and Rough Paths

Author: Terry Lyons

Publisher: Oxford University Press

Published: 2002

Total Pages: 358

ISBN-13: 9780198506485

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This work describes a completely novel mathematical development which has already influenced probability theory, and has potential for application to engineering and to areas of pure mathematics: the evolution of complex non-linear systems subject to rough or rapidly fluctuating stimuli.


A Course on Rough Paths

A Course on Rough Paths

Author: Peter K. Friz

Publisher: Springer Nature

Published: 2020-05-27

Total Pages: 354

ISBN-13: 3030415562

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With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most recently, stochastic partial differential equations. Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property. Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Itô-integration against Brownian motion required for most of the text. From the reviews of the first edition: "Can easily be used as a support for a graduate course ... Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory" - Fabrice Baudouin in the Mathematical Reviews "It is easy to base a graduate course on rough paths on this ... A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art" - Nicolas Perkowski in Zentralblatt MATH


Differential Equations Driven by Rough Paths

Differential Equations Driven by Rough Paths

Author: Terry J. Lyons

Publisher: Springer

Published: 2007-04-25

Total Pages: 126

ISBN-13: 3540712852

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Each year young mathematicians congregate in Saint Flour, France, and listen to extended lecture courses on new topics in Probability Theory. The goal of these notes, representing a course given by Terry Lyons in 2004, is to provide a straightforward and self supporting but minimalist account of the key results forming the foundation of the theory of rough paths.


Feedback Systems

Feedback Systems

Author: Karl Johan Åström

Publisher: Princeton University Press

Published: 2021-02-02

Total Pages:

ISBN-13: 069121347X

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The essential introduction to the principles and applications of feedback systems—now fully revised and expanded This textbook covers the mathematics needed to model, analyze, and design feedback systems. Now more user-friendly than ever, this revised and expanded edition of Feedback Systems is a one-volume resource for students and researchers in mathematics and engineering. It has applications across a range of disciplines that utilize feedback in physical, biological, information, and economic systems. Karl Åström and Richard Murray use techniques from physics, computer science, and operations research to introduce control-oriented modeling. They begin with state space tools for analysis and design, including stability of solutions, Lyapunov functions, reachability, state feedback observability, and estimators. The matrix exponential plays a central role in the analysis of linear control systems, allowing a concise development of many of the key concepts for this class of models. Åström and Murray then develop and explain tools in the frequency domain, including transfer functions, Nyquist analysis, PID control, frequency domain design, and robustness. Features a new chapter on design principles and tools, illustrating the types of problems that can be solved using feedback Includes a new chapter on fundamental limits and new material on the Routh-Hurwitz criterion and root locus plots Provides exercises at the end of every chapter Comes with an electronic solutions manual An ideal textbook for undergraduate and graduate students Indispensable for researchers seeking a self-contained resource on control theory


Applied Stochastic Differential Equations

Applied Stochastic Differential Equations

Author: Simo Särkkä

Publisher: Cambridge University Press

Published: 2019-05-02

Total Pages: 327

ISBN-13: 1316510085

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With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.


Multidimensional Stochastic Processes as Rough Paths

Multidimensional Stochastic Processes as Rough Paths

Author: Peter K. Friz

Publisher: Cambridge University Press

Published: 2010-02-04

Total Pages: 671

ISBN-13: 1139487213

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Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (Wong-Zakai, McShane's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.


A Course on Rough Paths

A Course on Rough Paths

Author: Peter K. Friz

Publisher: Springer

Published: 2014-08-26

Total Pages: 262

ISBN-13: 3319083325

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Lyons’ rough path analysis has provided new insights in the analysis of stochastic differential equations and stochastic partial differential equations, such as the KPZ equation. This textbook presents the first thorough and easily accessible introduction to rough path analysis. When applied to stochastic systems, rough path analysis provides a means to construct a pathwise solution theory which, in many respects, behaves much like the theory of deterministic differential equations and provides a clean break between analytical and probabilistic arguments. It provides a toolbox allowing to recover many classical results without using specific probabilistic properties such as predictability or the martingale property. The study of stochastic PDEs has recently led to a significant extension – the theory of regularity structures – and the last parts of this book are devoted to a gentle introduction. Most of this course is written as an essentially self-contained textbook, with an emphasis on ideas and short arguments, rather than pushing for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis courses and has some interest in stochastic analysis. For a large part of the text, little more than Itô integration against Brownian motion is required as background.


Mathematical Control Theory

Mathematical Control Theory

Author: Eduardo D. Sontag

Publisher: Springer Science & Business Media

Published: 2013-11-21

Total Pages: 543

ISBN-13: 1461205778

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Geared primarily to an audience consisting of mathematically advanced undergraduate or beginning graduate students, this text may additionally be used by engineering students interested in a rigorous, proof-oriented systems course that goes beyond the classical frequency-domain material and more applied courses. The minimal mathematical background required is a working knowledge of linear algebra and differential equations. The book covers what constitutes the common core of control theory and is unique in its emphasis on foundational aspects. While covering a wide range of topics written in a standard theorem/proof style, it also develops the necessary techniques from scratch. In this second edition, new chapters and sections have been added, dealing with time optimal control of linear systems, variational and numerical approaches to nonlinear control, nonlinear controllability via Lie-algebraic methods, and controllability of recurrent nets and of linear systems with bounded controls.


Séminaire de Probabilités XLVI

Séminaire de Probabilités XLVI

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2014-12-29

Total Pages: 511

ISBN-13: 3319119702

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Providing a broad overview of the current state of the art in probability theory and its applications, and featuring an article coauthored by Mark Yor, this volume contains contributions on branching processes, Lévy processes, random walks and martingales and their connection with, among other topics, rough paths, semi-groups, heat kernel asymptotics and mathematical finance.


Introduction to Applied Linear Algebra

Introduction to Applied Linear Algebra

Author: Stephen Boyd

Publisher: Cambridge University Press

Published: 2018-06-07

Total Pages: 477

ISBN-13: 1316518965

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A groundbreaking introduction to vectors, matrices, and least squares for engineering applications, offering a wealth of practical examples.