MATH6231 - Topics in Optimization Theory I - 2019/20

Course Name: 
Topics in Optimization Theory I
Teacher: 
Prof. Xiaolu TAN
Course Year: 
2019/20
Term: 
2

General Information

Time and Venue

  • Lecture: Monday 14:30-17:15

Course Description

I. Deterministic optimal control

II. Stochastic optimal control


References

  • Nizar Touzi, Deterministic and Stochastic Control, Application to Finance
  • Huyên Pham, Continuous-time Stochastic Control and Optimization with Financial Applications
  • Ioannis Karatzas, Steven Shreve, Brownian Motion and Stochastic Calculus

Assessment Policy

Last updated: January 06, 2020 13:20:29