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We present an observer design for systems with controlled nonlinear dynamics and nonlinear observation. The design is a development of earlier work, which was motivated by nonlinear filtering asymptotics. The basic design ...

We consider the asymptotic nonlinear filtering problem dx = f(x)dt + SQRT EPSILONdw = h(x)dt + SQRT EPSILONdv, and obtain lim_EPSILON-->0 EPSILONlog q^EPSILON(x, t) = -W(x, t) for unnormalized conditional densities ...

Various proofs have been given of the minimum principle satisfied by an optimal control in a partially observed stochastic control problem. See, for example, the papers by Bensoussan [1], Elliott [5], Haussmann [7], and ...

We consider the nonlinear filtering problem of a vector diffusion process, when several noisy vector observations with possibly different dimension of their range space are available. At each time any number of these ...

We consider real-time sequential detection and estimation problems for non-gaussian signal and noise models. We develop optimal algorithms and several architectures for real-time implementation based on numerical algorithms, ...

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We provide a short review of the literature on design of decentralized control based on weak coupling measures for transfer function models. The notion of diagonal dominance for transfer functions has been suggested as a ...

We analyze sequential detection for diffusion type signals both in the fixed probability of error formulation and in the Bayes Formulation. We show that the optimal strategy in both cases is of the threshold type with ...