Performance monitored continuous time LQ stochastic adaptive control

Presents a continuous time stochastic adaptive control algorithm for completely observed linear stochastic systems with unknown parameters. The adaptive estimation algorithm is designed so that, first, it drives the estimate into a neighborhood I^δ of a set I of parameters corresponding to the true closed loop dynamics and then, second, by activating a performance monitoring feature in I^δ, the estimate converges to the true system parameter and the resulting control yields optimal long run LQ closed loop performance