Another year of MATH69122! — aka Stochastic Control.
This year, I will try to keep updating PDFs with slides and notes for each lecture. I’ll keep notes for the course in the “PDF” tab above. These are also here:
Stochastic Control 2020 [pdf]
Here is a rough plan for each week of lectures:
Continue reading “Stochastic Control 2020”
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)”
We consider a specific diffusion control problem. We focus on setting where there is one risky asset and one riskless asset, though we will see that much of the analysis passes over to multiple assets.
Continue reading “Merton Portfolio Optimization”
- 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”