Stochastic Control 2020

Another year of MATH69122! — aka Stochastic Control.

This year, I will try to keep updating PDFs with slides and notes for each lecture. I’ll keep notes for the course in the “PDF” tab above. These are also here:

Stochastic Control 2020 [pdf]

Here is a rough plan for each week of lectures:

Continue reading “Stochastic Control 2020”

Kalman Filter

Kalman filtering (and filtering in general) considers the following setting: we have a sequence of states  x_t, which evolves under random perturbations over time. Unfortunately we cannot observe x_t, we can only observe some noisy function of  x_t, namely,  y_t. Our task is to find the best estimate of x_t given our observations of y_t. Continue reading “Kalman Filter”

Notes for Stochastic Control 2019

The link below contains notes PDF for this years stochastic control course


I’ll upload individual posts for each section. I’ll likely update these notes and add more exercises over the coming semester. I’ll add this update in a further post at the end of the course. Comments, typos, suggestions are always welcome.