2025/2026

Стохастическое управление в финансах

Статус: Маго-лего

Кто читает: Департамент статистики и анализа данных

Охват аудитории: для всех кампусов НИУ ВШЭ

Преподаватели: Морено Франко Гарольд Андрес

Язык: русский

Контактные часы: 32

Программа дисциплины

Аннотация

The objective of this course is to provide a comprehensive introduction to Stochastic Control Theory. We will systematically explore various aspects of solving stochastic optimization problems, both in discrete and continuous time, with a strong emphasis on applications in finance and insurance. In the continuous time framework, the value function associated with these problems is intricately connected to a non-linear partial differential equation known as the Hamilton-Jacobi-Bellman equation. Therefore, we will cover essential mathematical tools that will facilitate our understanding of this critical relationship. By the end of the course, students should be well-equipped to approach stochastic optimization problems methodically and apply their knowledge to relevant fields effectively. Course Prerequisites: Students are expected to have a mathematical background equivalent to that of the first year of our master’s program in 'Stochastic Modeling in Economics and Finance'. This includes a solid foundation in Probability Theory and Stochastic Differential Equations.