Difference between revisions of "Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses"

Revision as of 07:30, 9 November 2016

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.

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−	Link to material: http://ifors.org~~/web~~/wp-content/uploads/2016/07/EURO-ORD-Workshop-Finance-Development.pdf	+	Link to material: http://ifors.org/wp-content/uploads/2016/07/EURO-ORD-Workshop-Finance-Development.pdf