Stochastic Control
Archived page from the Certificate in Quantitative Investment (CQI) section of the original site. For current information see en.cqi.sg.
Course Description
Stochastic Control…
Course Outline
| Session | Topics | Readings | Homeworks |
| 1 | ODE | Lecturer handout | hw1 |
| 2 | PDE | Lecturer handout | hw2 |
| 3 | Dynamic programming | Lecturer handout | hw3 |
| 4 | The Hamilton-Jacobi-Bellman equation | Lecturer handout | hw4 |
| 5 | Problems with perfect and imperfect information | Lecturer handout | hw5 |
| 6 | Discounted problems | Lecturer handout | hw6 |
| 7 | Undiscounted problems | Lecturer handout | hw7 |
| 8 | Stochastic jump and diffusion processes | Lecturer handout | hw8 |
| 9 | Stochastic calculus for jump-diffusions | Lecturer handout | hw9 |
| 10 | Stochastic dynamic programming | Lecturer handout | hw10 |
| 11 | Computational stochastic control methods | Lecturer handout | hw11 |
| 12 | Viscosity solutions of variational inequalities | Lecturer handout | hw12 |
Recommended Readings
- Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, Daniel J. Duffy
- Dynamic Programming & Optimal Control, Vol. I, Dimitri P. Bertsekas
- Dynamic Programming and Optimal Control, Vol. II, 4th Edition: Approximate Dynamic Programming, Dimitri P. Bertsekas
- Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation, Floyd B. Hanson
- Applied Stochastic Control of Jump Diffusions, Bernt Øksendal, Agnès Sulem