AM 226: Introduction to Stochastic Control Theory
Tues., Thurs., 10:30-11:50 a.m., Room: B&H 160
- Instructor: Paul Dupuis, 37 Manning Street,
Rm 204, Tel: x33238,
email@example.com, Office hours: 1-2 Thursday
and 11-12 Friday.
- Homework: There will be 2-3 homework assignments.
These will be a major part of the course, and are mandatory.
- Grading: Grading will be based on the homework and computation
- Textbook: Kushner and Dupuis, Numerical
Methods for Stochastic Control Problems in Continuous Time, (2nd ed) Springer,
- Introduction: Applications and Elementary Examples
- Theory of Controlled Markov Chains-Dynamic Programming Equations
- Continuous Time Models-Controlled Diffusions
- Standard Formulations of Stochastic Control
- Connections with PDE
- Approximation of Processes-Examples and General Methods
- Dynamic Programming Equations for Markov Chains-Methods of Solution
- Weak Convergence
- Convergence Proofs
- Special Topics (E.g., Reflected or Jump Processes)