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X-WR-CALDESC:Events for VPSMS
BEGIN:VEVENT
DTSTART;VALUE=DATE:20180411
DTEND;VALUE=DATE:20180413
DTSTAMP:20180225T134324
CREATED:20180122T092637Z
LAST-MODIFIED:20180122T104409Z
UID:1679-1523404800-1523577599@vpsms2018.org
SUMMARY:Minicourse "An introduction to stochastic control and portfolio optimization"
DESCRIPTION:About\nThe event will take place in the building: Ca’ Vignal 2. \n\n\n\nLuciano Campi\n[London School of Economics\, London]\n11th of April – 1530-1830 – Meeting room 2nd floor \n12th of April – 1530-1830 – Meeting room 2nd floor \n13th of April – 1530-1830 – Meeting room 2nd floor \n\nAbstract\nWe 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. \n\n\nAccommodation\nWe have selected a short list of accommodation facilities in Verona. You can find it here \n\nVenue\n\nOther information for visit Verona\nGoogle street view\n\n \n \n \n
URL:http://vpsms2018.org/event/minicourse-an-introduction-to-stochastic-control-and-portfolio-optimization/
CATEGORIES:Minicourse
ATTACH;FMTTYPE=image/jpeg:http://vpsms2018.org/wp-content/uploads/2018/01/matematica-programmazione.jpg
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