- The Hamilton-Jacobi-Bellman Equation.
- Heuristic derivation of the HJB equation.
Continue reading “Diffusion Control Problems”
- Continuous-time dynamic programs
- The HJB equation; a heuristic derivation; and proof of optimality.
Continue reading “Continuous Time Dynamic Programs”
- Markov Decisions Problems; Bellman’s Equation; Two examples
Continue reading “Markov Decision Processes”
- Dynamic Programs; Bellman’s Equation; An example.
Continue reading “Dynamic Programming”
- A heuristic look at the stochastic integral.
- heuristic derivation of Itô’s formula.
Continue reading “Ito’s Formula: a heuristic derivation”
- Utility functions and their equivalence
- Risk Aversion.
- CRRA utility and its equivalence with Iso-elastic utilities.
Continue reading “Utility Theory”
- Markov’s Inequality; Chebychev’s Inequality; Chernoff’s Bound.
- Bounds for the Poisson Distribution.
Continue reading “Basic Probability Bounds”