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

zbMATH Open0554.93073MaRDI QIDQ760404FDOQ760404

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)

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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)

Cited In (13)

• An anticipative linear filtering equation
• On quantum jumps, events, and spontaneous localization models
• Semigroup-theoretic approach to diffusion in thin layers separated by semi-permeable membranes
• The sound of silence: equilibrium filtering and optimal censoring in financial markets
• Optimal control of LQ problem with anticipative partial observations
• Strategic insider trading equilibrium: a filter theory approach
• Title not available (Why is that?)
• An inverse problem for stochastic differential equations
• Application of the Goodwin model to autoregulatory feedback for stochastic gene expression
• Modeling Diffusion in Thin 2D Layers Separated by a Semipermeable Membrane
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• Stochastic Filtering Methods in Electronic Trading
• Asymptotic behavior of distributions of mRNA and protein levels in a model of stochastic gene expression

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