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

This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering

This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of

Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic