Tid: 2 februari 2015 kl 13.15-15.00.
Seminarierummet 3733, Institutionen för
matematik, KTH, Lindstedtsvägen 25, plan 7.
Optimal Control and Filtering with Finance Applications
Professor Tomas Björk, Stockholm School of Economics, will give a course in Optimal Control and Filtering with Finance Applications:
LITERATURE: The literature consists of lecture notes which will be downloadable during the course. TEACHER: Professor Tomas Björk, Stockholm School of Economics.
Lectures will be held in room 3733 at 13-15 on the following dates:
2/2, 4/2, 9/2, 11/2, 18/2. Extra föreläsningar 23/2 och 25/2!
- 1. Optimal control. Dynamic programming and the HJB Equation, the Verification Theorem. The linear quadratic regulator. Optimal investment theory and the Merton fund separation theorems. The martingale approach to optimal investment problems.
- 2. Filtering. Nonlinear filtering and the Fujisaki-Kallianpur-Kunita equations. The Kalman and Wonham filters. Optimal control problems under partial observations. The partially observed linear quadratic regulator. Optimal investment under partial information.
- 3. Equilibrium models in economics. The simplest production and endowment equilibrium models in continuous time.
notes and other course material
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