Stochastic Control

Overview of stochastic systems with examples, Modeling of Stochastic Systems: Continuous and discrete-time models subjected to noise, Markov Decision Processes, Introduction to Stochastic Calculus and Stochastic Differential Equations, Stochastic Stability, Stochastic Optimal Control with complete and partial observations, finite and infinite horizon problems, Linear and nonlinear Filtering, Separation Principle, Linear quadratic Gaussian Problem, Stochastic Dynamic Programming, Stochastic Adaptive Control, Applications: Finance, operations research, biology.