A prototype expert system for the treatment of stochastic control and nonlinear signal processing problems is described with several illustrative examples. The system is written In MACSYMA, LISP and PROLOG. It accepts user input in natural language or symbolic form; it carries out the basic analysis of the user's problem in symbolic form (e.g., computing the Bellman dynamic programming equations for stochastic control problems or the Zakai equation and the estimation Lie algebra or likelihood ratio for nonlinear filtering problems); and it produces output in the form of automatically generated FORTRAN code for the flannel numerical reduction of the problem. The system also has a module using PROLOG which can check the well-posedness (existe...