Stochastic control for mathematical finance
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Additional Info
- ECTS credits: 6
- University: University of Nice - Sophia Antipolis
- Semester: 3
- Lecturer 1: Francois Delarue
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Topics:
- One period controlled models in finance
- Dynamic programming principle for discrete models
- Dynamic programming principle for time discrete models
- Time continuous models
- Detail: allocation problem, controlled SDE (stochastic differential equation)