Stochastic Control and Optimization – Winter Term 2016/17

Stochastic Control and Optimization – Winter Term 2016/17

On this webpage, you find all information on my course on Stochastic Control and Optimization, held in the winter term 2016/17 at the University of Trier.

General Information

The lectures take place on

  • Wednesday, 10:15 – 11:45 in E45.

You are expected to actively participate in the exercise classes. Exercise sheets will be made available every other week on this webpage. To qualify for the final exam, you are required to attain at least one point on 80% of the exercises, and to be able to demonstrate in the exercise classes that you have fully understood the solutions that your group has handed in. You can submit in groups of 2-3.

The exercise classes take place every other week on

  • Wednesday, 08:45 – 10:00 in E45.

The exact dates will be announced on this webpage.

Lecture Notes and Slides

The current version of the lecture notes (in German) can be downloaded here:

The slides (in German) used during the lectures can be downloaded here:

  • Slides 00: General Information
  • Slides 01: Information on the first exercise sheet
  • Slides 02: Examples of stochastic optimization problems
  • Slides 03: Stochastic analysis
  • Slides 04: Classical stochastic control – Problem formulation
  • Slides 05: Martingale Optimality and the Bellman Principle
  • Slides 06: The Hamilton-Jacobi-Bellman Equation
  • Slides 07: Optimal Fishing Rate and the Merton Problem
  • Slides 08: Definition of Viscosity Solutions
  • Slides 09: Sub- and Superjets
  • Slides 10: Uniqueness and Ishii’s Lemma
  • Slides 11: The Comparison Principle
  • Slides 12: Stochastic Supersolutions
  • Slides 13: Stochastic Subsolutions
  • Slides 14: The Viscosity Property of the Value Function

Exercise Sheets

The exercise sheets can be downloaded here:

Examinations

There will be oral exams on

  • March 06 and March 07, and
  • a re-examination on June 30.

Please register in Porta as well as with Ms. Thieme-Trapp (E129) to get an appointment.