Stochastic Control

Course Description

Stochastic Control…


Course Outline

Session Topics Readings Homeworks
1 ODE Lecturer handout hw1
2 PDE Lecturer handout hw2
3 Dynamic programming Lecturer handout hw3
4 The Hamilton-Jacobi-Bellman equation Lecturer handout hw4
5 Problems with perfect and imperfect information Lecturer handout hw5
6 Discounted problems Lecturer handout hw6
7 Undiscounted problems Lecturer handout hw7
8 Stochastic jump and diffusion processes Lecturer handout hw8
9 Stochastic calculus for jump-diffusions Lecturer handout hw9
10 Stochastic dynamic programming Lecturer handout hw10
11 Computational stochastic control methods Lecturer handout hw11
12 Viscosity solutions of variational inequalities Lecturer handout hw12


Recommended Readings

  1. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, Daniel J. Duffy
  2. Dynamic Programming & Optimal Control, Vol. I, Dimitri P. Bertsekas
  3. Dynamic Programming and Optimal Control, Vol. II, 4th Edition: Approximate Dynamic Programming, Dimitri P. Bertsekas
  4. Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation, Floyd B. Hanson
  5. Applied Stochastic Control of Jump Diffusions, Bernt Øksendal, Agnès Sulem