Lecture 7 - Optimal control, K5

Solving optimal control problem using calculus of variations

CoV with differential equation constraints

Lagrange multipliers, costate variables, Hamiltonian, sufficient conditions, second-order conditions, transversality conditions

Relationship between HJB and the conditions derived using CoV

additional topic if we have time: stochastic control, stochastic HJB, Ito formula, Browinian motion

Sections from the book: Kirk 5