Stochastic control and interacting systems

Unit Coordinator: François Delarue
Programme: Erasmus Mundus
ECTS Credits: 6
Semester: 1
Year: 2
Campus: University of Côte d'Azur
Language: English
Aims:

The course has two purposes. The first one is to provide the basic knowledge in stochastic control, control for discrete and continuous processes, dynamic programming principle, dynamic programming equation, Hamilton-Jacobi-Bellman equation.

The second part of the course will address interacting particle systems, as some of them are now currently used in the modelling of large neural networks. Applications to self-organisation and phase transition in neuroscience will be considered and, in connection with the first part of course, some learning methods will be discussed as well. 

Content:
  • Stochastic control
  • Dynamic programming principle
  • HJB equation, interacting particle system
  • Mean field models 
  • Learning methods
Pre-requisites:

Probability with measure theory, optimization, stochastic calculus


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