We consider the problem of sequentially investing in a set of stocks.
Continue reading “Sequential Investment”
- Weighted majority algorithm its variant for Bandit Problems.
Continue reading “Experts and Bandits (non-stochastic)”
- The Hamilton-Jacobi-Bellman Equation.
- Heuristic derivation of the HJB equation.
- Davis-Varaiya Martingale Prinicple for Optimality
Continue reading “Diffusion Control Problems”
Heuristic derivation of
- the Stochastic Integral
- Stochastic Differential Equations
- Ito’s Formula
Continue reading “Stochastic Integration – a Heuristic view”
- Continuous-time dynamic programs
- The HJB equation; a heuristic derivation; and proof of optimality.
Continue reading “Continuous Time Dynamic Programs”
- Optimal Stopping Problems; One-Step-Look-Ahead Rule
- The Secretary Problem.
- Infinite Time Stopping
Continue reading “Optimal Stopping”