Stochastic control and financial applications




PhD course (7.5 points)

The course takes place in March-May 2016.
It is intended for PhD students and last year Master students.
Lecturer and examiner: Sören Christensen
Introduction Meeting: MV:L23, Wednesday, March 9, 10:00.
Prerequisite courses: Integration theory, Stochastic Calculus.
Literature: See lecture notes.
Lecture notesstoch_control_soren_protected.pdfstoch_control_soren_protected.pdf
This is a very draft version, Version 26/4. The lecture notes will be constantly updated.
Questions for self-check: questions.pdfquestions.pdf.
Timetable: We meet on Mondays, 10.00-11.45, and Tuesday, 15.15-17.00, in MVH12. The first lecture is on Monday, 21/3. More precisely:
​21/3 Lecture notes: - Definition 1.3 (Feller process)
​22/3 ​----
​11/4 Lecture notes: - Prop. 2.2 (on superharmonic functions)
​12/4 Lecture notes: - Subsec. 2.2.1
​18/4 Lecture notes: - Subsec. 2.3.1
​19/4 Lecture notes: - Subsec. 2.3