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STAT G4266 Stochastic Control and Applications in Finance. 0 points.

Not offered during 2018-19 academic year.

Prerequisites: STAT GU4265

The course provides an introduction ot th eoptimal control of stochastic systems in continuous time. The topics are centered around controlled diffusions and otpimal stoppping, and illustrated by applications in Finance such as Merton's portfolio allocation problem, quadratic hedging, optimal liquidation, or the pricing of American options. The thoery of dynamic programming is developled together with the associated partial differnetial equations (Hamilton-Jacobi-Bellman equations)and boundary value problems, and complemented by the conved duality method.