Professor Carsten Hartmann (Berlin) gave a graduate course on Stochastic Control in February/March 2013. The following is the course description:
Stochastic control deals with the control and robust design of uncertain systems and aims at predicting and minimizing the influence of the uncertainty on the system behaviour. The lectures will provide a high-level overview of the huge field of control of Markov processes with a focus on controlled diffusions.
The course topics involve:
* Linear control systems
* Path integral representations of stochastic processes
* Optimal control and dynamic programming
* Optimal stopping problems
* Filtering theory
* Applications in science, engineering and finance
Requirements:
Basic knowledge of continuous-time Markov processes and stochastic differential equations desirable, but not mandatory.
Literature:
1) K. Aström, Introduction to Stochastic Control Theory, 1970.
2) W. Fleming and H. Soner, Controlled Markov Processes and Viscosity Solutions, 2006.
3) B. Oeksendal, Stochastic differential equations: an introduction with applications, 2003.