Course Notes

ECES 506 (Stochastic Control and Decision Theory)

October 31, 2023

About the course

These notes started as the lecture notes for ECSE 506 (Stochastic Control and Decision Theory) that I teach in the Winter term of every even year. These notes are not meant to be exhaustive; rather my focus is to convey the key ideas in their simplest form. For a more exhaustive treatment of the subject, please refer to the reference books mentioned below.

If you find any typos/mistakes in the notes, please let me know. Pull requests are welcome.

Reference books

How to cite these notes

To cite these lecture notes, please use:

  author        = {Aditya Mahajan},
  title         = {Lecture notes on Stochastic Control and Decision Theory},
  year          = {2023},
  howpublished  = "\url{}",