At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion- type processes. In the first edition of these volumes,...

Some problems of mathematical physics and analysis can be formulated as the problem of solving the equation f F, (1) Au = f, where A: DA C U + F is an operator with a non-empty domain of definition D, in a metric space U, with range in a metric space F. The metrics A on U and F will be denoted by P and P ' respectively. Relative u F to the twin spaces U and F, J. Hadamard P-06] gave the following defini- tion of correctness: the problem (1) is said to be well-posed (correct, properly posed) if the following conditions are satisfied: (1) The range of the value Q of the operator A coincides...

It would seem that any specialist in plasma physics studying a medium in which the interaction between particles is as distance-dependent as the inter action between stars and other gravitating masses would assert that the role of collective effects in the dynamics of gravitating systems must be decisive. However, among astronomers this point of view has been recog nized only very recently. So, comparatively recently, serious consideration has been devoted to theories of galactic spiral structure in which the dominant role is played by the orbital properties of individual stars rather than...

Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham 76J). At the same time, Girsanov 25J and Howard 26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier 4J. Two types of engineering problems engendered two different parts of stochastic control...

The book deals mainly with three problems involving Gaussian stationary processes. The first problem consists of clarifying the conditions for mutual absolute continuity (equivalence) of probability distributions of a "random process segment" and of finding effective formulas for densities of the equiva- lent distributions. Our second problem is to describe the classes of spectral measures corresponding in some sense to regular stationary processes (in par- ticular, satisfying the well-known "strong mixing condition") as well as to describe the subclasses associated with "mixing rate." The...