2024/2025
Stochastic control in finance
Type:
Mago-Lego
Delivered by:
Department of Statistics and Data Analysis
When:
3 module
Open to:
students of all HSE University campuses
Instructors:
Harold A. Moreno-Franco
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.