This semester we will be working on Optimal Stochastic Control
Text: ‘‘Stochastic Controls’’ by Jiongmin Yong and Xun Yu Zhou
09/10 | Introduction to Deterministic Control | Andrew Warren [slides] [video]
Chapter 1: Prerequisite Stochastic Calculus (Part 1): Ito Calculus | Sangmin Park [slides] [video]
Chapter 1: Prerequisite Stochastic Calculus (Part 2): SDEs| Son Van [slides] [video]
09/17 | Chapter 2: Intro to Stochastic Control | David Itkin [slides][video]
09/24 | Chapter 3: Intro Deterministic Hamiltonian Systems | Won Eui Hong [slides][video]
10/01 | Chapter 3: Intro to Stochastic Hamiltonian Systems | Benjamin Weber
10/08 | Chapter 4: Intro to Stochastic Dynamic Programming | Likhit Ganedi