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Stochastic Calculus, Filtering, and Stochastic Control - Math

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 errorsremaininthetext.

May 29, 2007 · should be sufcient). 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 daleif1chapter style, both of which are freely available on the web. i

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