This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process v whose components have paths of bounded variation. The presence of the process v prevents from directly applying classical results and novel estimates need to be...

This is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics