Stochastic control and interacting systems in finance

Additional Info

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

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