This course deepens the understanding of control problems in continuous-time finance. This is indispensable for understanding a large part of the current research in financial mathematics.
The aim of this course is to:
- obtain a thorough understanding of the main topics of optimal control, such as the HJB equation and corresponding solution concepts and their application in finance and economics
- get an introduction to probabilistic approaches for dealing with control problems
- enable the sudents to understand and contribute to current research in financial mathematics
After completing this course the student will also:
- have deepened his/her ability for teamwork
- have deepened his/her presentation skills