Martin Larsson: Catalogue data in Spring Semester 2018

Name Dr. Martin Larsson
FieldMathematical Finance
URLhttp://www.math.ethz.ch/~larssonm
DepartmentMathematics
RelationshipAssistant Professor

NumberTitleECTSHoursLecturers
364-1058-00LRisk Center Seminar Series Restricted registration - show details
Number of participants limited to 50.
0 credits2SA. Bommier, D. Basin, D. N. Bresch, L.‑E. Cederman, P. Cheridito, P. Embrechts, H. Gersbach, H. R. Heinimann, M. Larsson, W. Mimra, G. Sansavini, F. Schweitzer, D. Sornette, B. Stojadinovic, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
AbstractThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome.
ObjectiveParticipants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models and approaches for open problems, to analyze them with computers or other means, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.
ContentThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the seminar. Students and other guests are welcome.
Lecture notesThere is no script, but the sessions will be recorded and be made available. Transparencies of the presentations may be put on the course webpage.
LiteratureLiterature will be provided by the speakers in their respective presentations.
Prerequisites / NoticeParticipants should have relatively good scientific, in particular mathematical skills and some experience of how scientific work is performed.
401-3910-18LSeminar on Stochastic Optimal Control Restricted registration - show details
Number of participants limited to 12.
4 credits2SM. Larsson
AbstractThe goal of the seminar is to cover several key aspects of the continuous-time theory of stochastic optimal control. We will discuss the dynamic programming principle, Hamilton-Jacobi-Bellman (HJB) equation, verification theorem, viscosity solutions, comparison principle, backward stochastic differential equations, and the martingale duality method.
ObjectiveThe following topics will be discussed:

- Basic setup for controlled diffusions.
- Dynamic programming principle, the Hamilton-Jacobi-Bellman (HJB) equation, the verification theorem.
- Viscosity solutions for the HJB equation, comparison principle, uniqueness.
- Backward stochastic differential equations (BSDE), nonlinear Feynman-Kac formulas, stochastic maximum principle.
- Martingale duality method.
LiteratureWe will follow the book "Continuous-time Stochastic Control and Optimization with Financial Applications" by Huyên Pham.
Prerequisites / NoticeKnowledge of stochastic analysis at the level of the course Brownian Motion and Stochastic Calculus.