- Optimal Stopping Problems; One-Step-Look-Ahead Rule
- The Secretary Problem.
- Infinite Time Stopping
Category: MATH69122 Stochastic Control for Finance
Algorithms for MDPs
- High level idea: Policy Improvement and Policy Evaluation.
- Value Iteration; Policy Iteration.
- Temporal Differences; Q-factors.
Infinite Time Horizon, MDP
- Positive Programming, Negative Programming & Discounted Programming.
- Optimality Conditions.
Markov Decision Processes
- Markov Decisions Problems; Bellman’s Equation; Two examples
Markov Chains
- A short introduction to Markov chains for dynamic programming
- Definition, Markov Property, some Potential Theory.
