Lecture Notes

This is simply a collection of links and PDF files. If a link does not work, you may google it with the title of notes and the author name; and send me an email so that I can correct the link.

Questions and Answers

Open Courses

  • OCW - MIT Open Course Ware
  • SEE - Stanford Engineering Everywhere
  • SoiT - Stanford on iTunes U

Case Studies

  • Cases - Harvard Business Publishing for Educators




  • (PDF) Mathematical Methods of Engineering Analysis --Erhan Cinlar and Robert J. Vanderbei
  • (PDF)(http://www-unix.oit.umass.edu/~gbs/mta/ LINK) Banach Spaces and Differential Calculus --Jerrold E. Marsden and Tudor S. Ratiu
  • (PDF) Methods of Applied Mathematics --Todd Arbogast and Jerry Bona
  • (LINK) Lecture Notes and Background Materials on Lebesgue Theory from a Hilbert and Banach Space Perspective, Including an Application to Fractal Image Compression -- Willard Miller
  • (LINK) Real Analysis and Probability Theory with Economic Applications --Efe Ok
  • (PDF) Lectures on Lipschitz Analysis --Juha Heinonen

Numerical Computations

Linear Albegra

Matrix Calculus


  • (LINK) Myths and Counterexamples in Mathematical Programming
  • (LINK) Efficient Methods in Optimisation
  • (LINK) Jean-Pierre Aubin
  • (LINK) Practical Optimization: A Gentle Introduction -- John W. Chinneck
  • (LINK) Algorithm Animations for Practical Optimization: A Gentle Introduction

Infinite Dimensional Optimization / Optimal Control

  • (PDF) Infinite Dimensional Optimization and Optimal Design -Martin Burger
  • (PDF)(LINK) Optimal Control --Peter Thompson
  • (PDF) An Introduction to Mathematical Optimal Control Theory --Lawrence C. Evans
  • (LINK) Control Training Site --Graduate Paris School on Control
  • (LINK) Lecture Notes on Control --Alberto Bressan

Robust Optimization

  • (LINK) Robust Optimization --Fernando Ordóñez


  • (PDF) An Introduction to Stochastic Differential Equations --Lawrence C. Evans
  • (LINK) Applied Optimal Control with emphasis on the control of jump-diffusion stochastic processes --Floyd B. Hanson
  • (PDF) Stochastic Optimal Control in Finance --H. Mete Soner
  • (LINK) Numerical Methods for SDE --David Cai


  • (LINK) An Introduction


  • (LINK) Networks, Crowds, and Markets: Reasoning About a Highly Connected World -- David Easleyand Jon Kleinberg

Probability and Statistics

Financial Engineering