Nonlinear Filtering and Stochastic Control

Contenu

Lectures on stochastic control.- Stochastic non linear filtering equations and semimartingales.- Stochastic partial differential equations connected with non-linear filtering.- Lectures on nonlinear filtering and stochastic control.- Equations of non-linear filtering; and application to stochastic control with partial observation.- On approximation methods for nonlinear filtering.- On weak convergence to random processes with boundary conditions.- How to discretize stochastic differential equations.