Master
2024/2025
Stochastic control in finance
Type:
Elective course (Stochastic Modeling in Economics and Finance)
Area of studies:
Economics
Delivered by:
Department of Statistics and Data Analysis
Where:
Faculty of Economic Sciences
When:
2 year, 3 module
Mode of studies:
offline
Open to:
students of all HSE University campuses
Instructors:
Harold A. Moreno-Franco
Master’s programme:
Stochastic Modelling in Economics and Finance
Language:
English
ECTS credits:
3
Contact hours:
32
Course Syllabus
Abstract
The goal of this course is to give an introduction to Stochastic Control Theory. We will provide a systematic treatment of the different aspects in the resolution of stochastic optimization problems in continuous time with a view towards financial and insurance applications. Since the value function associated with these problems is closely related to the solution to a non-linear partial differential equation, called the Hamilton-Jacobi-Bellman equation, we will study some fundamental mathematical tools which will help us to see this relationship.