STA4526H: Stochastic Control and Applications in Finance

The course will introduce students to the basic theory of stochastic optimal control. We will cover both the analytic approach, including an introduction to viscosity solution theory, and the probabilistic approach which is based on BSDE and the stochastic maximum principle. Applications to portfolio optimization and contract theory will be discussed.

Credit Value (FCE)

0.25

Prerequisites

(Measure-theoretic) probability theory and stochastic calculus

Campus(es)

St. George

School of Graduate Studies University of Toronto 63 St. George Street Toronto, ON Canada M5S 2Z9
Tel: 416-978-6614

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