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.

Probability Son, Father and Grandfather have same birthday.

Here is a quick request for comments for Probability 1 students. Here are two answers saying that the probability that a grandfather, father and son are all born on the same day.

The first answer is sort of wrong because it assumes you specify in advance date of birth. The second answer is right because we assume in advance we are given three generations and we assume we deal with a first born son.

Please leave comments below and will forward them on to BBC.