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Mete Soner: Katalogdaten im Frühjahrssemester 2019

NameHerr Prof. Dr. Mete Soner
LehrgebietFinanzmathematik
Adresse
Professur für Finanzmathematik
ETH Zürich, HG G 54.3
Rämistrasse 101
8092 Zürich
SWITZERLAND
E-Mailmete.soner@math.ethz.ch
URLhttps://soner.princeton.edu
DepartementMathematik
BeziehungEmeritierter Professor

NummerTitelECTSUmfangDozierende
401-4938-14LStochastic Optimal Control Information
Findet dieses Semester nicht statt.
4 KP2VM. Soner
KurzbeschreibungDynamic 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.
LernzielGoals 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.
InhaltIn 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.
LiteraturControlled Markov Processes and Viscosity Solutions, 2nd edition, (W.H. Fleming and H.M. Soner) Springer-Verlag, (2005).

And lecture notes will be provided.
Voraussetzungen / BesonderesBasic knowledge of Brownian motion, stochastic differential equations and probability theory is needed.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KP. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
KurzbeschreibungForschungskolloquium
LernzielEinfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance".
Inhalthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html