Engineering Sciences 203 was an introduction to stochastic control theory. We covered Poisson counters, Wiener processes, Stochastic differential conditions, Ito and Stratanovich calculus, the Kalman-Bucy filter and problems in nonlinear estimation theory.
To help students at the beginning of the course, I put together a review of some material from linear control and estimation theory:
To help students at the beginning of the course, I put together a review of some material from linear control and estimation theory:
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Here is a summary of the core material from the course:
| Introduction to Stochastic Differential Equations |
Here are Roger Brockett's excellent notes on the subject:
| notes_on_stochastic_control.pdf |
And some additional material on more advanced topics:
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