Stochastic control and interacting systems in finance
Additional Info
- ECTS credits: 6
- University: University of Nice - Sophia Antipolis
- Semester: 3
- Lecturer 1: F. Delarue
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Objectives:
The course provides the basic knowledge in stochastic control, programming principle, dynamic programming equation, Hamilton-Jacobi-Bellman equation, control for counting processes. A second part addresses the theory of mean-field models. Applications to finance are considered.
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Topics:
Programming principle, dynamic programming equation, Hamilton-Jacobi-Bellman equation, control for counting processes. Mean-field models as many particle limits. Applications to finance.
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Course units
