Stochastic Control (2019-2020)

2019-2020
Lecturer(s): 
Prof. Hanqing Jin
Course Term: 
Hilary
Course Overview: 

Formulation of stochastic control problem; Dynamic programming method: dynamic principle, HJB equation, verification theorem, Merton's problem, Linear-Quadratic problem; Maximum Principle: Spike variation and
estimation, Duality and adjoint equation.