Introduction to vector stochastic processes; response of linear differential systems to white noise, state estimation of linear stochastic systems by Kalman Filtering, combined optimal control and estimation of continuous time Linear Quadratic Gaussian (LQG) regulators; optimization techniques for dynamic systems using nonlinear programming methods and variational calculus; optimal control of linear and nonlinear systems by Pontryagin’s maximum principle and Hamilton-Jacobi-Bellman theory of dynamic programming; computational methods in optimal control and estimation; applications to aerospace, mechanical electrical and other physical systems.