ENG-639: Dynamic programming and optimal controlThis course provides an introduction to stochastic optimal control and dynamic programming (DP), with a variety of engineering
applications. The course focuses on the DP principle of optimality, and i
EE-611: Linear system theoryThe course covers control theory and design for linear time-invariant systems : (i) Mathematical descriptions of systems (ii) Multivariables realizations; (iii) Stability ; (iv) Controllability and Ob
MATH-660: Numerical methods for data assimilationThis course will review modern techniques for parameter and state estimation in a Bayesian framework for models involving differential equations, with particular attention to the high dimensional sett
MATH-612: Irregular transport and mixingWe will present the theory of PDEs and of transport equations with rough (non Lipschitz) velocity fields, address both the renormalisation theory by DiPerna-Lions-Ambrosio and its quantitative Lagrang
FIN-472: Computational financeParticipants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects.
MATH-495: Mathematical quantum mechanicsQuantum mechanics is one of the most successful physical theories. This course presents the mathematical formalism (functional analysis and spectral theory) that underlies quantum mechanics. It is sim
