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Stochastic Optimal Control

ORF 542

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We start this lecture by introducing some classical stochastic control problems, including optimal portfolio allocation, Merton utility maximization problem, real option, and contract theory. This introduction motivates us to study, after a short recall on stochastic calculus, some ways to solve stochastic control problems as well as optimal stopping problem. This leads us on a journey through the dynamic programming principle, the Hamilton Jacobi Bellman (HJB) equations, the notion of viscosity solution, up to the theory of BSDEs.
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Section L01