Astrom, Introduction to Stochastic Control Theory
, Translated by Yuhuan Pan, Science Press, Beijing, China, 1983.
Optimal and robust estimation; with an introduction to stochastic control theory, 2d ed.
Also discussed is stochastic control theory, including both state variable systems and polynomial systems.
In Paper 6 of the author develops a model using stochastic control theory
that includes the original claims process, claims reserves, reinsurance, investment return, premiums, and solvency margin.
The control tuning objectives of the course spanned the classical quarter amplitude methods dating back to 1942 through to the most recent minimum variance control concept which has its roots in the evolution of stochastic control theory from 1965 through to 1980.
Virtually no undergraduates get any nonlinear control theory or stochastic control theory.