© 2018

Estimation and Control of Dynamical Systems


Part of the Interdisciplinary Applied Mathematics book series (IAM, volume 48)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Alain Bensoussan
    Pages 1-4
  3. Alain Bensoussan
    Pages 25-44
  4. Alain Bensoussan
    Pages 45-78
  5. Alain Bensoussan
    Pages 79-154
  6. Alain Bensoussan
    Pages 155-167
  7. Alain Bensoussan
    Pages 169-183
  8. Alain Bensoussan
    Pages 215-247
  9. Alain Bensoussan
    Pages 249-317
  10. Alain Bensoussan
    Pages 319-350
  11. Alain Bensoussan
    Pages 351-394
  12. Alain Bensoussan
    Pages 395-407
  13. Alain Bensoussan
    Pages 409-458
  14. Alain Bensoussan
    Pages 459-492
  15. Alain Bensoussan
    Pages 493-521
  16. Alain Bensoussan
    Pages 523-544
  17. Back Matter
    Pages 545-547

About this book


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 throughout, 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.


Linear Dynamical Systems Dynamic Programming Estimation Differential Games Stochastic Control Backward Stochastic Differential Equations Contract Theory Hamilton-Jacobi-Bellman Equations

Authors and affiliations

  1. 1.International Center for Risk and Decision AnalysisJindal School of Management, University of Texas at DallasRichardsonUSA

Bibliographic information

Industry Sectors
Energy, Utilities & Environment
Finance, Business & Banking


“This book is a great resource for graduate students and those who want to learn and understand stochastic control theory. It is also a great read for experts who want to gain a broader overview of the subject and wish to see connections between different techniques. … this is an excellent book and a great complement to the current offering in stochastic control.” (Jan Palczewski, SIAM Review, Vol. 62 (1), 2020)