Minicourse “An introduction to stochastic control and portfolio optimization”
April 11 - April 12
The event will take place in the building: Ca’ Vignal 2.
[London School of Economics, London]
11th of April – 1530-1830 – Meeting room 2nd floor
12th of April – 1530-1830 – Meeting room 2nd floor
13th of April – 1530-1830 – Meeting room 2nd floor
We will give a short introduction to stochastic control in continuous time with some applications to optimal investment problems. In particular, after giving some examples of control problem which are relevant in finance and economics, we will turn to the dynamic programming principle (DPP), which is the main tool to obtain the Hamilton-Jacobi-Bellman (HJB) partial differential equation describing the local behaviour of the value function. Under some regularity conditions, solving the HJB PDE gives a method to find (at least theoretically) the solution of stochastic control problems where the state variable has Markovian dynamics. We will apply this approach to solve some problems of optimal investment, e.g. the classic Merton problem of optimal investment and consumption and some of its variants.
We have selected a short list of accommodation facilities in Verona. You can find it here