Stochastic Differential Systems I Filtering and Control A Function Space Approach
This book is an outgrowth of a graduate course by the same title given at UCLA (System Science Department). presenting a Functional Analysis approach to Stochastic Filtering and Control Problems. As the writing progressed. several new points of view were developed and as a result the present work is...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
1973, 1973
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| Edition: | 1st ed. 1973 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- I: Preliminaries: Stochastic Processes
- II: Linear Stochastic Equations
- Inducing Measures On C: The Wiener Measure
- Stochastic Integrals: Linear Case
- Linear Stochastic Equations
- III: Conditional Expectation and Martingale Theory
- IV: Radon-Nikodym Derivatives with Respect to Wiener Measure
- V: The Ito Integral
- R-N Derivatives Using Ito Integral
- VI: Linear Recursive Estimation
- Time Invariant Systems: Asymptotic Behavior
- VII: Linear Stochastic Control: Time Invariant Systems
- Steady State Control: Time Invariant Systems
- Final Value Problems
- Tracking Problem
- Differential Games with Imperfect Information
- VIII: System Identification
- Appendix I
- Appendix II
- References
- Suplementary Notes