They are generally second year graduate or higher, who have taken advanced calculus and have been exposed to some elementary statistics and deterministic control theory. As instructors, we have tried to provide guidance for students on how best to study stochastic control systems in a modern context, supplying detailed derivations and rigorous proofs, and assisting them in developing a coherent mathematical theory. It is these endeavors and our firm commitment to providing students with a strong mathematical foundation that have resulted in this modest textbook, which we hope can serve for the same purpose in graduate schools and related discipline areas. A guided plan for using this book is provided at the beginning of the text. While mathematical rigor and coherence were our main concerns in the writing of the book, the real driving force is our desire to convey those aspects of modern stochastic control theory that have actually been put to use in practical engineering applications.
Every chapter contains many examples and exercises.