Optimal Control and Filtering with Finance Applications
Time: Mon 2015-02-02 13.15 - 15.00
Location: Room 3733, Lindstedtsvägen 25, 7th floor, Department of mathematics, KTH
Participating: Tomas Björk, Stockholm School of Economics
Contents
- Optimal control. Dynamic programming and the HJB Equation, the Verification Theorem. The linear quadratic regulator. Optimal investment theory and the Merton fund separation theorems. The martingale approach to optimal investment problems.
- Filtering. Nonlinear filtering and the Fujisaki-Kallianpur-Kunita equations. The Kalman and Wonham filters. Optimal control problems under partial observations. The partially observed linear quadratic regulator. Optimal investment under partial information.
- Equilibrium models in economics. The simplest production and endowment equilibrium models in continuous time.
Literature
The literature consists of lecture notes which will be downloadable during the course.
Teacher
Professor Tomas Björk, Stockholm School of Economics.
Lecture dates
Lectures will be held in room 3733 at 13-15 on the following dates: 2/2, 4/2, 9/2, 11/2, 18/2.