MathMods :: Joint MSc

Additional Info

• ECTS credits: 6
• University: University of Nice - Sophia Antipolis
• Semester: 3
• Lecturer 1: F. Delarue
• 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.

• Topics:

   

  Programming principle, dynamic programming equation, Hamilton-Jacobi-Bellman equation, control for counting processes. Mean-field models as many particle limits. Applications to finance.