Uploads to the Undervisningsmateriale folder: …

Uploads to the Undervisningsmateriale folder:

5155_20100503_scan.pdf : Problems for the final seminar on Monday 10th.

Welch+Bishop: The handouts on the discrete-time Kalman filter.

Math5_bookpages.pdf: This includes selections from books; I have also merged the pages on optimal stopping from Øksendal's book into this document. Since this is now a fair amount of material not available elsewhere on the net, I have chosen to encrypt the file. PW: "ECON5155" w/o quotation marks. (So why encrypt? Search engines won't find it.)

So this file contains:

• Material on optimal stopping from Øksendal's book, as made available earlier.
• From Bensoussan's book: material on the discrete-time Kalman filter, the continuous-time Kalman--Bucy filter, and the linear--quadratic control. A few pages with proofs and intermediate results are left out. Core material for this course is only the Kalman--Bucy filter (the material on the Kalman filter is included only to get an alternative exposition to Welch+Bishop; you don't have to read both).
• Material on the Kalman--Bucy filter from Øksendal's book. Not needed if you catch it from Bensoussan's book, just given for an alternative exposition. However, the treatment on the Riccati equation in the constant coefficients case (second-to-last page) is useful, and may be used for next seminar.