- Markov Decisions Problems; Bellman’s Equation; Two examples
Category: Control for Finance
Dynamic Programming
Diffusion Control Problems
- The Hamilton-Jacobi-Bellman Equation.
- Heuristic derivation of the HJB equation.
Continuous Time Dynamic Programs
- Continuous-time dynamic programs
- The HJB equation; a heuristic derivation; and proof of optimality.
Markov Decision Processes
- Markov Decisions Problems; Bellman’s Equation; Two examples
Dynamic Programming
- Dynamic Programs; Bellman’s Equation; An example.
Ito’s Formula: a heuristic derivation
- A heuristic look at the stochastic integral.
- heuristic derivation of Itô’s formula.
Applied Probability Notes 