While Mathematics of Physics and Engineering conceivably implies all of mathematics, a course with this title usually includes very specific topics like review of vector calculus, introduction to partial differential equations, Fourier series and integrals, and selected topics from complex analysis. Most universities offer this course in various forms. However, there is no textbook specifically designed for it. This descriptive text aims at filling the gap with a self-contained treatment of the above topics. Instead of the traditional end-of section problems, this book presents relatively...

Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs.

Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.