Although three decades have passed since the first publication of this book, it is reprinted now as a result of popular demand. The content remains up-to-date and interesting for many researchers as i
This book deals with the optimal control of solutions of fully observable Ito-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved a
"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as
These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential t
