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Stochastic Calculus, Filtering, and Stochastic Control

StochasticCalculus, Filtering, andStochast icControlLecture Notes(Thisversion:May29,2007)RamonvanHan delSpring2007 PrefaceTheselecturenoteswerewrittenforth ecourseACM217:AdvancedTopicsin Stochas-ticAnalysisat Caltech;thisyear(2007), anintroductorycourseonthesubject,andasth ereareonlysomany weeksina term, suf cientdodevelopa largeclassofinterestingmodels,andto developsomestochasticcontroland ,andmany otherfascinating(anduseful)topics,arelef tfora , thestochasticcontrolportionofthesenotesc oncentratesonveri- cationtheorems, hope,however, thattheinterestedreaderwillbeencouragedt oprobea littledeeperandultimatelytomove have noillusionsaboutthestateofthesenotes they werewrittenratherquickly,sometimesatther ateofa chaptera have nodoubtthatmany err

May 29, 2007 · Some elementary background in analysis is very helpful. Layout. The LATEX layout was a bit of an experiment, but appears to have been positively received. The document is typeset using the memoirpackage and the ... 5 Stochastic Differential Equations 117 5.1 Stochastic differential equations: existence and uniqueness . . . . . . 117

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