Stochastic Control
Nizar Touzi
Centre de Mathematiques Appliquées
École Polytechnique
Route de Saclay
91128 Palaiseau
Abstract: Decision problems in finance, among many other applications, are usually formulated in terms of optimization in the context of dynamic continuous-time models. This PhD level course addresses the general theory of stochastic control from the perspective of the dynamic programming approach. We shall present some recent connections with partial differential equations (PDEs) and optimal transportation, together with relevant applications in finance.
More information: See Nizar Touzi's web page and his lecture notes therein.