Regular version of the site

Academic Supervisor

Panov, Vladimir

Manager

Geroeva, Maria

Study Office

Address: 11 Pokrovskiy blvd, Building T, Office T521, Moscow, Russia

Phone: + 7 495 7729590*27145

Email: mgeroeva@hse.ru

For prospective students: welcome-economics@hse.ru

FES Student Council

International Office: Valeriya Latypova

Feedback

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!
To be used only for spelling or punctuation mistakes.

Delivered at:: Department of Statistics and Data Analysis

Course type:: Elective course

When:: 2 year, 3 module

Instructor

Moreno-Franco, Harold A.

Ask Question

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.

Master’s Programme 'Stochastic Modeling in Economics and Finance'

Stochastic control in finance

Instructor

Course Syllabus

Abstract