VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.
Stochastic Optimal Control with Applications in Finance
Last Updated: 2026-02-05 14:59:47
Content
In this course we give an introduction to the solution of optimisation problems under uncertainty, with a special focus on the solution of consumption / investment problems as they arise in mathematical finance. We present both the “classical” dynamic programming approach based upon Bellman’s equations and the more recent duality approach. Contents. Preliminaries: • Motivation in discrete time • Diffusion processes, Markov processes and generators • The portfolio choice / consumption-investment problem The Dynamic Programming Approach: • Discrete-time motivation • the Bellman equation • verification theorems • application to portfolio choice The Duality Approach • The duality approach • Connection to martingale measure • Examples: Optimal investment under constraints • Optimal stopping problems and American options • Monte-Carlo methods for American Options
General Information
- Language
- German
- Frequency
- Yearly recurring
Examination
- Type
- no performance assessment
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Stochastic Optimal Control with Applications in Finance |
|
2 h weekly |