Probability III (Stat GR6303) - Fall 2017

This course is for PhD students only.
This course is an advanced introduction to stochastic control, dynamic programming, viscosity solutions of nonlinear parabolic PDEs and backward stochastic differential equations (BSDEs) with examples from mathematical finance. It is mostly based on the following lecture notes:
You can download the eBook from the publisher's website (licensed through Columbia's library services).

The course also follows excepts from
Prerequisites: Probability I and II. This will be a fast-paced lecture; students are expected to have some maturity in real analysis, probability theory and stochastic analysis (Ito calculus). Knowledge of PDEs is not required but some prior exposure may be helpful.