Here are notes for the course and examples sheets 1, 2 and slides from the lectures 1, 2, 3, 4, 5/6, 7/8, 9, 10. You are advised not to print the slides.
Notes for the course can be downloaded a single file or in sections:
1. Controllable dynamical systems, 2. The dynamic optimality equation, 3. Finite-horizon dynamic optimization, 4. Dynamic optimization for non-negative rewards, 5. Dynamic optimization for discounted costs, 6. Dynamic optimization for non-negative costs, 7. Optimal stopping, 8. Dynamic optimization for long-run average costs. 9. Full controllability of linear systems, 10. Linear systems with non-negative quadratic costs, 11. Certainty-equivalent control, 12. LQG systems and the Kalman filter, 13. Observability, 14. The LQG model in equilibrium. 15. The Hamilton-Jacobi-Bellman equation, 16. Pontryagin's maximum principle, 17. Continuous-time stochastic systems, 18. Existence and uniqueness of solutions for differential equations.
Examples sheets are here: Examples Sheet 1, Examples Sheet 2, Examples Sheet 3.
Slides from the lectures are here:1, 2, 3, 4, 5-8, 9-10, 11-13, 14, 15, 16, 17.
Much of the material in the notes and examples sheets is derived from a version of the course given by Richard Weber.
Here are some notes from an old version of the course.