401-3910-18L Seminar on Stochastic Optimal Control
Semester | Frühjahrssemester 2018 |
Dozierende | M. Larsson |
Periodizität | einmalige Veranstaltung |
Lehrsprache | Englisch |
Kommentar | Maximale Teilnehmerzahl: 12 |
Kurzbeschreibung | The 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. |
Lernziel | The 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. |
Literatur | We will follow the book "Continuous-time Stochastic Control and Optimization with Financial Applications" by Huyên Pham. |
Voraussetzungen / Besonderes | Knowledge of stochastic analysis at the level of the course Brownian Motion and Stochastic Calculus. |