Mete Soner: Catalogue data in Spring Semester 2017

Name Prof. em. Dr. Mete Soner
FieldFinancial Mathematics
Address
Dep. Mathematik
ETH Zürich, HG G 54.3
Rämistrasse 101
8092 Zürich
SWITZERLAND
E-mailmete.soner@math.ethz.ch
URLhttps://soner.princeton.edu
DepartmentMathematics
RelationshipProfessor emeritus

NumberTitleECTSHoursLecturers
401-4938-14LStochastic Optimal Control Information 4 credits2VM. Soner
AbstractDynamic programming approach to stochastic optimal control problems will be developed. In addition to the general theory, detailed analysis of several important control problems will be given.
ObjectiveGoals are to achieve a deep understanding of

1. Dynamic programming approach to optimal control;
2. Several classes of important optimal control problems and their solutions.
3. To be able to use this models in engineering and economic modeling.
ContentIn this course, we develop the dynamic programming approach for the stochastic optimal control problems. The general approach will be described and several subclasses of problems will also be discussed in including:
1. Standard exit time problems;
2. Finite and infinite horizon problems;
3. Optimal stoping problems;
4. Singular problems;
5. Impulse control problems.

After the general theory is developed, it will be applied to several classical problems including:
1. Linear quadratic regulator;
2. Merton problem for optimal investment and consumption;
3. Optimal dividend problem of (Jeanblanc and Shiryayev);
4. Finite fuel problem;
5. Utility maximization with transaction costs;
6. A deterministic differential game related to geometric flows.

Textbook will be

Controlled Markov Processes and Viscosity Solutions, 2nd edition, (W.H. Fleming and H.M. Soner) Springer-Verlag, (2005).

And lecture notes will be provided.
LiteratureControlled Markov Processes and Viscosity Solutions, 2nd edition, (W.H. Fleming and H.M. Soner) Springer-Verlag, (2005).

And lecture notes will be provided.
Prerequisites / NoticeBasic knowledge of Brownian motion, stochastic differential equations and probability theory is needed.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KP. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
ObjectiveIntroduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Contenthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html
406-0353-AALAnalysis III
Enrolment ONLY for MSc students with a decree declaring this course unit as an additional admission requirement.

Any other students (e.g. incoming exchange students, doctoral students) CANNOT enrol for this course unit.
4 credits9RM. Soner
AbstractThe focus lies on the simplest cases of three fundamental types of partial differential equations of second order: the Laplace equation, the heat equation and the wave equation.
Objective
LiteratureReference books and notes

Main books:

Giovanni Felder: "Partielle Differenzialgleichungen für Ingenieurinnen und Ingenieure" (Download PDF: http://www.math.ethz.ch/u/felder/Teaching/Partielle_Differenzialgleichungen ),
Erwin Kreyszig: "Advanced Engineering Mathematics", John Wiley & Sons, just chapters 11, 16.


Extra readings:

Norbert Hungerbühler: "Einführung in die partiellen Differentialgleichungen", vdf Hochschulverlag AG an der ETH Zürich,
Yehuda Pinchover, Jacob Rubinstein: "Partial Differential Equations", Cambridge University Press 2005.


For reference/complement of the Analysis I/II courses:

Christian Blatter: Ingenieur-Analysis (Download PDF)
Prerequisites / NoticeThe precise content changes with the examiner. Candidates must therefore contact the examiner in person before studying the material.