2024/2025

Стохастическое управление в финансах

Статус: Маго-лего

Кто читает: Департамент статистики и анализа данных

Когда читается: 3 модуль

Охват аудитории: для всех кампусов НИУ ВШЭ

Преподаватели: Морено Франко Гарольд Андрес

Язык: английский

Кредиты: 3

Контактные часы: 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.