|
Instructors: | Prof. Dr. H. Mete Soner and Albert Altarovici | Lectures: | Thursday 13-15 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