Lectures on Stochastic Control and Nonlinear Filtering
by M. H. A. Davis
Publisher: Tata Institute of Fundamental Research 1984
ISBN/ASIN: 3540133437
ISBN-13: 9783540133438
Number of pages: 112
Description:
There are actually two separate series of lectures, on controlled stochastic jump processes and nonlinear filtering respectively, and the corresponding two parts of these notes are almost disjoint. They are united however, by the common philosophy of treating Markov processes by methods of stochastic calculus.
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