Stochastic Systems: The Mathematics of Filtering and Identification and Applications

Proceedings of the NATO Advanced Study Institute held at Les Arcs, Savoie, France, June 22 – July 5, 1980

  • Michiel Hazewinkel
  • Jan C. Willems

Part of the NATO Advanced Study Institutes Series book series (ASIC, volume 78)

Table of contents

  1. Front Matter
    Pages i-xii
  2. The Main Themes of the ASI “Stochastic System: The Mathematics of Filtering and Identification and Applications”

  3. Introductory Tutorial Material for Identification and Filtering Problems

    1. Front Matter
      Pages 27-27
    2. M. H. A. Davis, Steven I. Marcus
      Pages 53-75
    3. Michiel Hazewinkel
      Pages 95-108
  4. Foundations of Stochastic Systems and Modeling Issues and Applications

    1. Front Matter
      Pages 109-109
    2. Ludwig Arnold
      Pages 111-134
    3. René Boel
      Pages 141-167
    4. Anders Lindquist, Giorgio Picci
      Pages 169-204
  5. Identification

  6. Linear Filtering

  7. Adaptive Control

  8. Nonlinear Filtering

  9. Back Matter
    Pages 651-663

About these proceedings


In the last five years or so there has been an important renaissance in the area of (mathematical) modeling, identification and (stochastic) 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 of both embryo scientists and the various breeds of established researchers to whom identification, filtering, etc. are important (such as control engineers, time series analysts, econometricians, probabilists, mathematical geologists, and various kinds of pure and applied mathematicians; all of these were represented at the ASI). For these proceedings we have taken particular care to see to it that the material presented will be understandable for a quite diverse audience. To that end we have added a fifth tutorial section (besides the four presented at the meeting) and have also included an extensive introduction which explains in detail the main problem areas and themes of these proceedings and which outlines how the various contributions fit together to form a coherent, integrated whole. The prerequisites needed to understand the material in this volume are modest and most graduate students in e. g. mathematical systems theory, applied mathematics, econo­ metrics or control engineering will qualify.


Ergodic theory Stochastic calculus Stochastic processes Variance diffusion process filtering problem stochastic process

Editors and affiliations

  • Michiel Hazewinkel
    • 1
  • Jan C. Willems
    • 2
  1. 1.Erasmus UniversiteitRotterdamThe Netherlands
  2. 2.RijksuniversiteitGroningenThe Netherlands

Bibliographic information

  • DOI
  • Copyright Information Springer Science+Business Media B.V. 1981
  • Publisher Name Springer, Dordrecht
  • eBook Packages Springer Book Archive
  • Print ISBN 978-94-009-8548-3
  • Online ISBN 978-94-009-8546-9
  • Series Print ISSN 1389-2185
  • Buy this book on publisher's site