Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran

MaRDI QIDQ760404zbMATH OpenFDO

Authors Mark H. A. Davis

Publication date 1984

Published in Lectures on Mathematics and Physics. Mathematics. Tata Institute of Fundamental Research (Search for Journal in Brave)

zbMATH Keywords

robust filteringpiecewise deterministic processesDynkin formulageneralized dynamic programming

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Foundations of stochastic processes (60G05)

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