# 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.