Advanced stochastics and applications
Additional Info
- University: University of Nice - Sophia Antipolis
- Semester: 3
- Lecturer 1: François Delarue
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Topics:
• The first part of the course provides the basic knowledge in stochastic control, control for diffusion processes, dynamic programming principle, dynamic programming quation, Hamilton Jacobi Bellman equation, control for counting processes.
• A seance part addresses the theory of mean-field models. Applications to collective optimization in finance, or self-organization and phase transition in neuroscience will be considered.
• A third addresses long time behaviour of stochastic differential equations and interpretation in terms of stochastic gradient descents.
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