Master 2025/2026

Stochastic control in finance

Type: Elective course (Stochastic Modeling in Economics and Finance)

Delivered by: Department of Statistics and Data Analysis

When: 2 year, 3 module

Open to: students of all HSE University campuses

Instructors: Harold A. Moreno-Franco

Language: English

Course Syllabus

Abstract

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.