Probability

[1] Bertsekas, Introduction to Probability, Athena Scientific, 2008.

[2] Yates and Goodman, Probability and Stochastic Processes, second edition, Willey.

Linear Quadratic Optimal Control

[3] Anderson and Moore, Optimal Control: Linear Quadratic Methods, Dover Books on Engineering (paperback), 2007.

[4] Lewis and Syrmos, Vassilis L., Optimal Control, Wiley-IEEE, 1995.

[5] Bryson and Ho, Applied Optimal Control: Optimization, Estimation, and Control, Wiley.

Stochastic Control Theory and Optimal Filtering

[6] Brown and Hwang, Introduction to Random Signals and Applied Kalman Filtering, Third Edition, Willey.

[7] Lewis and Xie and Popa, Optimal and Robust Estimation, Second Edition CRC.

[8] Grewal and Andrews, Kalman Filter, Theory and Practice, Prentice Hall.

[9] Anderson, and Moore, Optimal Filtering, Dover Books on Engineering (paperback), New York,2005.

[10] Astrom, Introduction to Stochastic Control Theory,Dover Books on Engineering (paperback),New York,2006.

Adaptive Control

[11] Astrom and Wittenmark, Adaptive Control, Addison Wesley, 2nd Ed., 1995.

[12] Goodwin and Sin, Adaptive Filtering Prediction and Control, Prentice Hall, 1984.

[13] Krstic, Kanellakopoulos, and Kokotovic, Nonlinear and Adaptive Control Design, Willey.