## Stochastic Differential EquationsJoseph Bishop Keller, Henry P. McKean, American Mathematical Society, Society for Industrial and Applied Mathematics |

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### Contents

Some Problems and Methods for the Analysis of Stochastic | 21 |

Wave Propagation and Conductivity in Random Media | 35 |

Analysis of Some Stochastic Ordinary Differential Equations | 97 |

Optimal Control of Diffusion Processes | 163 |

Optimal Control of a Partially Observed Stochastic System | 173 |

Building and Evaluating Nonlinear Filters | 189 |

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adapting bump model Appl applied assume asymptotic autocovariance Brownian motion calculation coefficients conductivity consider correlation functions corresponding define denote derived dielectric constant distribution energy evaluated exact results expression Figure first-order moments first-order perturbation method fluctuations follows Frisch G. C. Papanicolaou Gaussian given Green's function Halperin impurity band initial conditions integral interval J. A. Morrison J. B. Keller Laplace transforms lattice limit theorem linear Markov process Math Mathematical Phys matrix minimal model modified propagators multiple scattering nonanticipating nonsingular nonstochastic obtained one-dimensional operator optimal control percolation probability density functions problem proof random evolutions random media random telegraph process sample function satisfies second-order moments solution solved statistics stochastic average stochastic control stochastic differential equation stochastic equations stochastic process telegraph process theory tion transmitter vector vesicle virtual crystal voltage wave equation wave propagation white noise wide sense stationary Wiener zero