MIT Electrical Engineering and Computer Science Fall 2000 Catalogue Supplement

6.291 Nonlinear Filtering and Stochastic Control (G)

TR 2:30-4, New Room: 34-301
Professor Sanjoy Mitter, Room 35-403, 3-2160
Prereq.: 18.103 or equivalent
3-0-9

The theory of non-linear filtering and stochastic control in continuous time leading to a methodology for treating decision making under uncertainty in a systematic way has now found important applications in Control, Communications, Operations Research and Finance. In finance the most celebrated example is the theory of option pricing due to Black, Sholes and Merton. This course in an introduction to this subject. Topics to be covered include: Partially observed Stochastic Control in Discrete-time (as a prelude to the continuous time theory). Brownian Motion and the theory of Martingales. Stochastic Differential Equations. Linear and Non-linear Filtering. Partially observed Stochastic Control (Continuous time). Theory of Point Processes and its applications.

Grades based on homework and term paper.