Stochastic Optimization and Control (2023/2024)

Course code
cod wi: dt001092
Name of lecturer
Athena Picarelli
Coordinator
Athena Picarelli
Number of ECTS credits allocated
5
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Location
VERONA
Period
Anno accademico 2023/2024 Dottorato di Ricerca dal Oct 1, 2023 al Sep 30, 2024.

Lesson timetable

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Learning outcomes

The course presents the main techniques of stochastic optimal control in continuous time and its applications in finance.

Syllabus

Introduction to stochastic optimal control in continuous time;
Maximum Principle;
Dynamic Programming Principle;
Optimal Control and backward stochastic differential equations;
Numerical approximation;
Free boundary problems, constrained problems.

Reference books

See the teaching bibliography

Assessment methods and criteria

Written test

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