Continuous-time Stochastic Control
Zhipeng Huang
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Seminar Zhipeng Huang | Monday, 12:15 - 13:45 | B 047 |
The course will be organised via Moodle. If you want to attend the course, please register in Moodle.
In this seminar, we will study continuous-time stochastic control and optimization problems with applications in finance. We will introduce several key methods, including dynamic programming and Hamilton–Jacobi–Bellman equations, viscosity solutions, backward stochastic differential equations, and convex duality methods. The theory will be presented with rigorous arguments and illustrated through concrete financial applications such as portfolio allocation, option hedging, real options, and optimal investment.
- Pham, H.: Continuous-time stochastic control and optimization with financial applications. Springer-Verlag, Berlin, 2009.
The books is available as PDF file for LMU students at the university library.
Target Participants: Master students in Mathematics and Financial and Insurance Mathematics.
Pre-requisites: Probability Theory and Financial Mathematics II.
Applicable credits: 3 ECTS.