Estimation and Control of Dynamical Systems (Interdisciplinary Applied Mathematics, Band 48)

This 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 througho ut which will be useful for PhD courses and graduate courses in general.Dr. Alain Bensoussan is Lars Magnus Ericsson Chair at UT Dallas and Director of the International Center for Decision and Risk Analysis which develops risk management research as it pertains to large-investment industrial projects that involve new technologies applications and markets. He is also Chair Professor at City University Hong Kong.