MS&E 322

Stochastic Calculus and Control

Announcements

March 11th, 2008 12:30pm

Professor Glynn will hold office hours this afternoon from 5:00 to 5:45pm.
An partial version of Handout 6 on connections between PDE's and SDE's has been posted. We might modify it through this week, please check the update time for latest version. A topical handout named "Applications in Finance" has been posted as well, it contains change of measure and Girsanov theorem.
There will be no extra problems added to homework 4.

Please refer to the General Info page for take-home final information. We reiterate that all students must obey the Stanford Honor Code and collaboration with people in or outside the class is prohibited.
I can arrange alternative pick-up time (other than 4:00pm) on March 15(Sat) - March 18(Tue), if that eases your exam week schedule. But please send me an email at least two days in advance stating your time preference and the reason you need to do that.

March 9th, 2008 11:30am

Chapter 3 has been completed. And the handout for TA review session was posted as well.

March 6th, 2008 11:20am

Homework 4 is posted and due next Friday, 3:30pm. And a TA review session will be held tonight. The topic will be "More Examples on Stochastic Control", we'll focus on Merton's problem, talk about some cases in which we can solve for the control explicitly, and discuss the finite time horizon case.

Feb 25th, 2008 3:30pm

We do have a class on Wednesday this week.

Feb 24th, 2008 1:30pm

Hw3 is posted.

Feb 21th, 2008 4:30pm

A modification was made to 6(c), the boundary condition u(x)=0 for x\notin C for this one is unnecessary thus dropped.

Feb 20th, 2008 11:30pm

The new version of homework 2 has been posted. (Including the changes I described in the last email).
Professor Glynn will hold office hour today, from 3:30-4:00pm(in class), and from 5:45-6:15pm(in Terman 313).
An updated handout on chapter 3 has been posted, it includes the homework problem 6 now.

Feb 15th, 2008 0:40pm

I have just corrected a small typo in problem 5. Please download the latest version of homework 2.

Feb 14th, 2008 11:20am

The complete problem set 2 has been posted.

Feb 13th, 2008 4:40am

The review session will be held on Feb 14(Thur) 7:00pm - 8:15pm, at Terman 498.

Feb 12th, 2008 11:40am

The second TA review session will be held this week, topics include:
1) Optional Sampling: more examples and applications.
2) Change of Measure under the Markov Chain setting.

Please email the TA by Wed noon if you are interested to come but cannot make one of the options:
Option 1: Feb 14 (Thur) 7:00p - 8:15pm
Option 2: Feb 15 (Fri) 6:00pm - 6:15pm
Please check the announcement page on Wed afternoon for the final scheduled time and location, since no email will be sent on that.

The second homework due time has been altered to Feb 20 (Wed) 3:30pm (after class). But please expect the distribution of the third problem set before that, and adjust your time accordingly.

Feb 10th, 2008 4:40pm

Homework 2 has been posted, due on Feb 19 5:00pm. More problems will be added later.

Feb 3rd, 2008 9:40pm

The TA will do a problem/topic session during the week of Feb 11 - Feb 15. Please drop an email if you have preference on any topic/problem.
The old handout "probability concepts" has been broken up into four pieces and posted as appendices. They are good reference on the subjects.

Jan 31th, 2008 11:30am Instructor Office Hour

A new handout covering last week's lecture notes has been posted. Two handouts on the topic "Stochastic Control" are also available.
Professor Glynn will hold office hour today from 5:00pm to 5:45pm.

Jan 28th, 2008 08:00pm Change of TA Thursday Office Hour

The TA's Thursday office hour will be moved to Thursday afternoon 4:00pm-5:00pm, since some students have classes at the office hour time on both Tuesday and Thursday. Tuesday office hour will remain the same. This will be valid for the rest of quarter unless notified otherwise. Please contact the TA if you still cannot make either.

Since the first homework assignment is due on Friday, the TA will have extended office hour on this Thursday (Jan 31) from 3:00pm-5:00pm.

Jan 24th, 2008 11:30am

Tentative 322 Class Schedule

Wednesday, Jan 16
Friday, January 18

Wednesday, January 23
Friday, January 25

Monday, January 28
Wednesday, January 30

Monday, February 4
Wednesday, February 6
Friday, February 8

Monday, February 11
Wednesday, February 13
Friday, February 15

Wednesday, February 20
Friday, February 22

Monday, February 25
Wednesday, February 27

Monday, March 3
Wednesday, March 5
Friday, March 7

Monday, March 10
Wednesday, March 12
Friday, March 14

Jan 20th, 2008 9:30pm

A course session is to be hold by the TA next week at Terman 453. The tentative time is:
Option 1: Thursday Jan 24. 3:45pm-5:00pm.
Option 2: Friday Jan 25. 5:30pm - 6:45pm.
If you want to come, please email the TA which time DOESN'T work for you. We'll try to accomodate to all people who are interested.

The topics are:
1. Basics about Conditional Expectation:
Definition, property, and examples.
2. Convergence of Random Variables:
Convergence in probability, almost sure convergence, weak convergence, L^p convergence. Their relationship and illustrations.

This session is designed for those who haven't learned the subject from a mathematical point of view before or just want a review. If you think there are other materials you would like to be reviewed, please feel free to inform TA through the quarter.

Jan 15th, 2008 5:30pm

Please note the classroom change due to increased number of audience. We will move to Redwood Hall G19 tomorrow for our first class. It might be a bit tricky to find the location, so here is the map: http://campus-map.stanford.edu/index.cfm?ID=14-140 We look forward to meeting you tomorrow!

Jan 8th, 2008 12:30pm

MS&E 322 meets three times per week, largely in order to allow re-scheduling of classes that would be missed due to Monday holidays and due to a couple of trips that Professor Glynn must take this quarter. The first such trip is January 9th through the 14th. So, the first meeting of MS&E 322 will occur on Wednesday, January 16th. The first lecture will offer a course overview. Once we're done with that, we will do a quick review of basic Markov chain theory in discrete time, as a preparation for the continuous-time theory that will lie at the heart of the course. Please review your discrete time Markov chain theory prior to the first lecture next Wednesday.

You are welcomed to email the TA with any questions or comments concerning the course content and logistics. Especially, specifying your preference between taken-home exam and in-class exam for the final will be helpful.

| Management Science & Engineering Dept | Stanford University |