Difference between revisions of "Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses"
From IFORS Developing Countries Online Resources
Line 31: | Line 31: | ||
− | + | <html> | |
<head> | <head> | ||
</head> | </head> | ||
Line 68: | Line 68: | ||
<div class="rw-ui-container rw-urid-134"></div> | <div class="rw-ui-container rw-urid-134"></div> | ||
</body> | </body> | ||
− | </html | + | </html> |
[[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