Lectures on Stochastic Control and Nonlinear Filtering

[1]  D. Sworder.  Stochastic calculus and applications , 1984, IEEE Transactions on Automatic Control.

[2]  Mark H. A. Davis.  Piecewise‐Deterministic Markov Processes: A General Class of Non‐Diffusion Stochastic Models , 1984 .

[3]  P. Lee,et al.  A Course in the Theory of Stochastic Processes , 1983, The Mathematical Gazette.

[4]  Zvi Rosberg,et al.  Optimal control of service in tandem queues , 1982 .

[5]  J. Bismut,et al.  Diffusions conditionnelles. II. G?n?rateur conditionnel. Application au filtrage , 1982 .

[6]  J. Bismut.  Martingales, the Malliavin calculus and hypoellipticity under general Hörmander's conditions , 1981 .

[7]  Hiroshi Kunita,et al.  Densities of a measure–valued process governed by a stochastic partial differential equation , 1981 .

[8]  D. Vermes,et al.  Optimal Dynamic Control of a Useful Class of Randomly Jumping Processes , 1980 .

[9]  G. Kallianpur.  Stochastic filtering theory , 1979, Advances in Applied Probability.

[10]  Richard M. Lewis,et al.  A Necessary and Sufficient Condition for Optimality of Dynamic Programming Type, Making No a Priori Assumptions on the Controls , 1978 .

[11]  H. Sussmann.  On the Gap Between Deterministic and Stochastic Ordinary Differential Equations , 1978 .

[12]  Mark H. A. Davis.  The Representation of Martingales of Jump Processes , 1976 .

[13]  P. Varaiya,et al.  Martingales on Jump Processes. I: Representation Results , 1975 .

[14]  Stanley R. Pliska,et al.  Controlled jump processes , 1975 .

[15]  R. Rishel.  Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances , 1975 .

[16]  Eugene Wong,et al.  Recent progress in stochastic processes-A survey , 1973, IEEE Trans. Inf. Theory.

[17]  A. A. Yushkevich,et al.  Continuous time markov decision processes with interventions , 1983 .

[18]  Hiroshi Kunita,et al.  Stochastic partial differential equations connected with non-linear filtering , 1982 .

[19]  E. Pardoux,et al.  Equations of non-linear filtering; and application to stochastic control with partial observation , 1982 .

[20]  Steven I. Marcus,et al.  An Introduction to Nonlinear Filtering , 1981 .

[21]  Mark H. A. Davis.  On a multiplicative functional transformation arising in nonlinear filtering theory , 1980 .

[22]  J. M. Clark.  The Design of Robust Approximations to the Stochastic Differential Equations of Nonlinear Filtering , 1978 .

[23]  Mark H. A. Davis.  Linear estimation and stochastic control , 1977 .