I am currently learning about stochastic optimal control, and am finding the lecture notes [1] for this course [2] to be extremely helpful. The notes are by a probabilist Ramon Van Handel at Princeton.  I hope you find them useful!<p>[1] <a href="https:&#x2F;&#x2F;www.princeton.edu&#x2F;~rvan&#x2F;acm217&#x2F;ACM217.pdf" rel="nofollow">https:&#x2F;&#x2F;www.princeton.edu&#x2F;~rvan&#x2F;acm217&#x2F;ACM217.pdf</a>
[2] <a href="https:&#x2F;&#x2F;www.princeton.edu&#x2F;~rvan&#x2F;acm217&#x2F;acm217.html" rel="nofollow">https:&#x2F;&#x2F;www.princeton.edu&#x2F;~rvan&#x2F;acm217&#x2F;acm217.html</a>