Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses
From IFORS Developing Countries Online Resources
by: Gerhard-Wilhelm Weber
Abstract
Outline
-Introduction
• 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: http://ifors.org/wp-content/uploads/2016/07/EURO-ORD-Workshop-Finance-Development.pdf