Download Lectures on Stochastic Control and Nonlinear Filtering by M. H. A. Davis, There are literally two separate series of lectures, on controlled stochastic jump processes and nonlinear filtering respectively, and the corresponding two components of these notes are nearly disjoint. they're united however, by the common philosophy of treating markov processes by methods of stochastic calculus.


I Stochastic Jump Processes and Applications

1 Stochastic Jump Processes
0 Introduction
1 Martingale Theory for Jump Processes
2 Some Discontinuous Markov Processes
2 Optimal Control of pd Processes

II Filtering Theory

0 Introduction
1 Linear and Nonlinear Filtering Equations
2 Pathwise Solutions of Differential Equations
3 Pathwise Solution of the Filter Equation