Optimal control and filtering in continuous time, with engineering and finance applications

Place: Room 3733
Time: Tuesdays and Thursday 10.00-12.00
The course starts on Tuesday, February 2, 2010 and ends on Thursday, February 18, 2010.

Contents:

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 apporach 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.

Location: Room 3733, Department of mathematics, KTH, Lindstedtsvägen 25, 7th floor

Time: 2010-02-02 10.00 - 12.00

• Lecture notes (version 2010-02-17)
• Optimal Control with partial information
• Basic Arbitrage Theory
• Optimal investment under partial information
• Home Exam
• Exam results
• Lecturer: Tomas Björk
• E-mail address: tomas.bjork@hhs.se

To Mathematical Statistics