Adaptive Control of Continuous Time Stochastic Systems∗

Some problems and solutions of adaptive control problems for con-tinuous time stochastic systems are described. A solution is given to the adaptive linear quadratic Gaussian control problem under the natural assumptions of controllability and observability. The effects of sampling and numerical differentiation on a least squares estima-tion algorithm are described. Adaptive control problems for nonlinear stochastic systems and linear stochastic distributed parameter systems are briefly described