401-3910-18L  Seminar on Stochastic Optimal Control

SemesterFrühjahrssemester 2018
DozierendeM. Larsson
Periodizitäteinmalige Veranstaltung
LehrspracheEnglisch
KommentarMaximale Teilnehmerzahl: 12


KurzbeschreibungThe 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.
LernzielThe 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.
LiteraturWe will follow the book "Continuous-time Stochastic Control and Optimization with Financial Applications" by Huyên Pham.
Voraussetzungen / BesonderesKnowledge of stochastic analysis at the level of the course Brownian Motion and Stochastic Calculus.