Math 574 Applied Optimal Control
with emphasis on the control of jump-diffusion stochastic processes for Fall 2006 (see Text).

Professor Emeritus F. B. Hanson (hanson at uic dot edu, 705 SEO, x3-3041)

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Time Table: 25363 LCD 0400-0450PM M W F 205 LH

Lecturer: F. B. Hanson, 507 SEO, please use email (X6-3041msg)

Catalog description: Introduction to optimal control theory; calculus of variations, maximum principle, dynamic programming, feedback control, linear systems with quadratic criteria, singular control, optimal filtering, stochastic control.

Fall 2006: During this semester, the course will emphasize stochastic processes and control for jump-diffusions with applications to computational finance. See the final draft text of Hanson, to be published in SIAM Books Advances in Design and Control Series, for the class, including a background online Appendix B Preliminaries, that can be used for prerequisites.

Prerequisites: Graduate standing AND Math 411 Advanced Calculus II or Math 427 Analysis in Several Variables or consent of the instructor.
(See also online Appendix B Preliminaries.)

Comments: This course is strongly recommended for students in Applied and Financial Mathematics since it illustrates important application areas. The course is used to prepare Doctoral students interested in Mathematical Control, Information Theory, Applied Probability, Optimization, Computational Finance or Financial Engineering, Mathematical Biology, Mathematical Medicine and general Applied Mathematics.

Approximate List of Topics: ---- Hours: