Difference between revisions of "Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses"
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[[Category:Finance]] | [[Category:Finance]] | ||
Latest revision as of 06:35, 30 July 2019
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
