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Course Syllabus

Master 2024/2025

Stochastic control in finance

Type: Elective course (Stochastic Modeling in Economics and Finance)
Area of studies: Economics
Delivered by: Department of Statistics and Data Analysis
Where: Faculty of Economic Sciences
When: 2 year, 3 module
Mode of studies: offline
Open to: students of all HSE University campuses
Instructors: Harold A. Moreno-Franco
Master’s programme: Stochastic Modelling in Economics and Finance
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.