* Unifies existing and emerging concepts concerning multi-objective control and stochastic control with engineering-oriented phenomena * Establishes a unified theoretical framework for control and filtering problems for a class of discrete-time nonlinear stochastic systems with consideration to performance * Includes case studies of several nonlinear stochastic systems * Investigates the phenomena of incomplete information, including missing/degraded measurements, actuator failures and sensor saturations * Considers both time-invariant systems and time-varying systems * Exploits newly developed techniques to handle the emerging mathematical and computational challenges