Bensoussan A. Estimation and Control of Dynamical Systems

Springer, 2018. — 552 p. — (Interdisciplinary Applied Mathematics: Volume 48). — ISBN: 978-3-319-75455-0This book provides a comprehensive presentation of classical and advanced topics in estimation and control of dynamical systems with an emphasis on stochastic control. Many aspects which are not easily found in a single text are provided, such as connections between control theory and mathematical finance, as well as differential games.The book is self-contained and prioritizes concepts rather than full rigor, targeting scientists who want to use control theory in their research in applied mathematics, engineering, economics, and management science. Examples and exercises are included throughout, which will be useful for PhD courses and graduate courses in general.True PDF