Stochastic control for mathematical finance

Additional Info

  • ECTS credits: 6
  • Semester: 3
  • University: University of Nice - Sophia Antipolis
  • 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)

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