Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses

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by: Gerhard-Wilhelm Weber




• Stock Price Dynamics, and Lévy Processes

• Stochastic Hybrid Systems (with Jumps) and Markov Switching Models

• Stochastic Control of Hybrid Systems I and II

• Optimal Control of Stochastice Hybrid Systems with Jumps: 2 Approaches

• Example

• … under Delay: Maximum Principle

• Example

• Appendix: … and under Partial Information

• Appendix: Insider Information; Dynamic Programming and HJB Eqn.

Link to material: