
Instructors:  Prof. Dr. H. Mete Soner and Albert Altarovici  Lectures:  Thursday 1315 HG E 1.2 
First Lecture: Thursday, February 20, 2014
Examination and ECTS Points: Session examination, oral 20 minutes. 4 ECTS Points.
The goals of the course are to:
Basic knowledge of Brownian motion, stochastic differential equations and probability theory is needed.
We develop the dynamic programming approach for the stochastic optimal control problems. The general approach will be described and several subclasses of problems will also be discussed including:
After the general theory is developed, it will be applied to several classical problems including:
We will follow:
Lecture notes will also be provided during the course.
Date  Topics 
February 20  Deterministic optimal control; Linear Quadratic regulator; Dynamic Programming. 
February 27 
Minimal time problem. General Structure of an optimal control problem. Discussion of Dynamic Programming. 
March 6 
Optimal investment and consumption problem of Merton; infinite horizon problem, explicit solution, verification theorem, optimal wealth process; finite horizon, pure investment problem. 
March 13  A discrete deterministic game and its continuous time limit. 
March 20  Stochastic target problems; time evaluation of reachability sets and a stochastic representation for geometric flows. 
March 27  Finite fuel problem; general structure of a singular control problem. 
April 3  Optimal dividend policy. 
April 10  Theoretical treatment of dynamic programming. 
April 17  Dynamic programming equation; viscosity solutions 
May 8  Utility maximization under transaction costs. 
May 15  Utility maximization under transaction costs  continued. 
May 22  Concluding remarks and examples; classification of different control problems 
Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne
graphische Elemente dargestellt. Die Funktionalität der
Website ist aber trotzdem gewährleistet. Wenn Sie diese
Website regelmässig benutzen, empfehlen wir Ihnen, auf
Ihrem Computer einen aktuellen Browser zu installieren. Weitere
Informationen finden Sie auf
folgender
Seite.
Important Note:
The content in this site is accessible to any browser or
Internet device, however, some graphics will display correctly
only in the newer versions of Netscape. To get the most out of
our site we suggest you upgrade to a newer browser.
More
information