Syllabus
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
Annotation
In the present course stochastic linear and bilinear systems with continuous time and continuous state space are studied. The course is focused on three topics: a) optimal control b) filtering (problem of incomplete observation) c) problems of inference (parameter estimation).