Stochastic Optimal Control Spring 2017

Instructors

Lecturer: Prof. H. Mete Soner Coordinator: Matti Kiiski

Course

In this course, we develop the dynamic programming approach for the stochastic optimal control problems. The general approach will be described and several subclasses of problems will also be discussed in including: After the general theory is developed, it will be applied to several classical problems including:

Material

We will follow

Lectures

The lecture take place in HG F 26.3, Thursday 13-15. Tentative Schedule of Lectures:

Exam

There will be a 20 minutes long oral examination at the end of the semester.