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In the present course stochastic linear and bilinear systems with countinuous time and continuous state space are studied.
The course has been focused on three topics: a) optimal control for finite and infinite time horizon control problems b)
fundamentals of filtering theory c) problems of inference, parameter estimation.
Last update: T_KPMS (17.05.2010)
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The goal of the course is to present some basic achievements of the stochastic control and filtering theory and related topics for linear and bilinear multidimensional systems with continuous time and continuous state space Last update: T_KPMS (17.05.2010)
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[1] B. Oksendal: Stochastic Differential Equations, Springer-Verlag, 1985 (1. vyd.) [2] W .H. Fleming and R. W .Rishel: Deterministic and Stochastic Optimal Control, Springer-Verlag, 1975 [3] J. Yong and X. Y. Zhou: Stochastic Controls, Hamiltonian Systems and HJB Equations, Springer-Verlag, 1999 [4] P. Mandl: Pravděpodobnostní dynamické modely, Academia, Praha, 1985 Last update: T_KPMS (17.05.2010)
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Lecture. Last update: T_KPMS (19.05.2011)
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1. LQ problem for linear and bilinear stochastic equations in a vector space 2. The linear filtering problem, Kalman - Bucy filter 3. Some methods of parameter estimation for linear stochastic systems, properties of estimators Last update: T_KPMS (17.05.2010)
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