<t>Regarding the dichotomy between digital (discrete-time) and analog (continuous-time) domains:The first divided difference operator, or delta operator, defined bydelta x(kT) = [ x([k+1]T)-x(kT) ] / Tallows one to easily bridge the domains. Specifically, for linear systemsdelta x = A x + B u,then, ...

<t>Do any of these books (or other papers/books) study nonlinear problems with states driven by Poisson noise as well as Brownian motion? I've found a few papers on the net, but nothing systematic.This early tutorial is probably hard to obtain outside of an acedemic library but is really good. It do...

<t>For the benefit of all (hopefully), lemme add this to my first post.If you're interested in controlling LINEAR differential eqs. (or difference eqs.) then the treatment need not use Ito calculus. etc. Instead basic EE-level material (matrix theory, differential eqs., delta-functions) suffices. Th...

I read portions of Bertsekas' book, and did not find it to be anything great. There are much better treatments...

<r>The answer breaks down into whether you're considering linear systems or not:If so, simplest book is Stengel.<URL url="http://www.princeton.edu/~stengel/OptConEst.htmlYou">http://www.princeton.edu/~stengel/OptConEst.htmlYou</URL> might also consider the recent book on estimation by Kailath which ...

<t>I work for a smallish Co. that makes markets in Vanilla options - equity and fixed income. My career goal is to eventually work in exotics: either pricing FIs for a bank, or hedging insurance liabilities (exotics disguised as policies) on the vanilla market. In short I want to transition to what ...

<t>I am nominally an EE PhD, with a specialty in stochastic control. I too have left EE for quant-fin, and I am still undergoing the transition. Bearing that in mind, here are some points:1) Stochastic control shares some of the same methods of quant finance, if studied on the level of e.g. Fleming ...

<t>What Ross does is develop differential Kolmogorov equations for semi-Markov processes in an accessible way. That's it really.The emphasis is on a differential equation model: instead of N Markov states, we have, under Ross's model, an infinite number of states where each new state is a pair, viz....

<t>I am doing a PhD on regime-jumping diffusion processes, where the intra-jump times are of any distribution, and the regime-to-regime jumps (i to j) are Markov, hence the process is semi Markov.Well, there is very little; I've had to develop a lot of the material myself. Ross's book Stochastic Pro...