1.Introduction.- 2.A Few Tools and Notations.- 3.Mean Square Stability.- 4.Quadratic Optimal Control with Complete Observations.- 5.H2 Optimal Control With Complete Observations.- 6.Quadratic and H2 Optimal Control with Partial Observations.- 7.Best Linear Filter with Unknown (x(t), θ(t)).- 8.H_$infty$ Control.- 9.Design Techniques.- 10.Some Numerical Examples.- A.Coupled Differential and Algebraic Riccati Equations.- B.The Adjoint Operator...