Lecture notes by
Frédéric Bonnans
LECTURE NOTES IN OPTIMAL CONTROL
OPTIMIZATION AND STOCHASTIC PROGRAMMING (Lecture note from the
Mastere OJME, 2011
)
Notes, December 2011
FINANCE AND STOCHASTIC CONTROL
Numerical analysis of partial differential equations arising in finance and stochastic control
(2010).
Lecture notes from the
Mastere Probabilité et finance
, Paris VI and Ecole Polytechnique.
Quelques aspects numériques de la commande optimale stochastique
(juillet 2009)