Conditional Markov processes and their application to the theory of optimal control

By R. L. Stratonovich

Subjects: Stochastic processes, Markov processes, Probabilities, Random variable, Control theory, Mahematical statistics

Description: The adoption of the state space description of systems has led to substantial advances in optimal control and filtering theory in recent years. This volume, will be appreciated only by those specialists who are working in the domain of applied statistics and control engineering and by a few advanced graduate students with mathematical background. Nevertheless the problems considered are mathematically rigorous, interesting and practically important, and this book shall reward the perseverance of any reader with the necessary mathematical background. Stratonovich has been a major influence in the development of the subject.