logo-polimi
Loading...
Risorse bibliografiche
Risorsa bibliografica obbligatoria
Risorsa bibliografica facoltativa
Scheda Riassuntiva
Anno Accademico 2015/2016
Scuola Scuola di Ingegneria Industriale e dell'Informazione
Insegnamento 097662 - STOCHASTIC OPTIMAL CONTROL
Docente Fuhrman Marco Alessandro
Cfu 8.00 Tipo insegnamento Monodisciplinare

Corso di Studi Codice Piano di Studio preventivamente approvato Da (compreso) A (escluso) Insegnamento
Ing Ind - Inf (Mag.)(ord. 270) - MI (487) MATHEMATICAL ENGINEERING - INGEGNERIA MATEMATICA*AZZZZ097662 - STOCHASTIC OPTIMAL CONTROL

Programma dettagliato e risultati di apprendimento attesi

STOCHASTIC OPTIMAL CONTROL

 

Goal of the course. 

Basic problems, methods and results in the theory of optimal control for dynamical systems perturbed by noise will be presented. Both discrete-time and continuous-time models will be considered, over finite and infinite horizon. Continuous time models will be described by stochastic differential equations. The main solution methods will be dynamic programming, the study of the Hamilton-Jacobi-Bellman equation for the value function - including cases of solutions with low regularity - backward stochastic differential equations, the stochastic maximum principle (in the sense of Pontryagin). The main applications presented throughout the course will address economical and financial models, as well as the linear-quadratic stochastic optimal control problem. 

 

Program.

1) Discrete-time stochastic optimal control.

Controlled dynamical systems perturbed by noise, admissible control processes, payoff functionals over finite horizon. Value function, dynamic programming and the Hamilton-Jacobi-Bellman (HJB) equation. Extensions to discounted functionals over infinite horizon. Application to the Samuelson's model for optimal portfolio.

2) Optimal control of stochastic differential equations.

Stochastic differential equations with control parameters, admissible control processes, payoff functionals over finite and infinite horizon. Value function and the dynamic programming principle. Hamilton-Jacobi-Bellman (HJB) equations of parabolic and elliptic type. Verification theorems for regular solutions of the HJB equation. Linear-quadratic stochastic optimal control. Introduction to generalized solutions to the HJB equation, in the viscosity sense. Application to optimal portfolio problems, in particular the Merton's model.

3) Backward stochastic differential equations. 

Formulation, existence and uniqueness results. Applications to hedging strategies in financial market models and to option pricing. Probabilistic representation of the value function of an optimal control problem and of the solution to HJB equations.

4) Stochastic maximum principle.

First variation of a payoff functional related to controlled stochastic differential equations and necessary optimality conditions. Duality arguments and stochastic maximum principle in the sense of Pontryagin. Sufficient optimality conditions under concavity or convexity assumptions.

5) Overview on other problems and methods.

Under certain circumstances, various other topics may also be presented, for instance control with partial observation, ergodic control, optimal stopping problems (and its application to princing of American options), optimal switching, impulse control.  

 

Prerequisites and other information. 

Attending students are supposed to know the contents of a course in measure-theoretic probability. Other prerequisites, on which only short reminders will be given, are stochastic integration with respect to Brownian motion, the related stochastic calculus and stochastic differential equations driven by Brownian motion. Attendance to lectures and exercise classes is not compulsory, but highly recommended.


Note Sulla Modalità di valutazione

The exam will be an oral colloquium on the whole program of the course. Occasionally, candidates may also be required to write down the answer to a question or to solve some simple written exercises. There will be no mid-term examinations.


Bibliografia
Risorsa bibliografica facoltativaH. Pham, Continuous-time Stochastic Control and Optimization with Financial Applications, Editore: Springer, Anno edizione: 2009, ISBN: 978-3-540-89499-5
Note:

This book is the suggested bibliographical reference. It covers only a part of the program of the course. Lecture notes, written by the instructor and freely available on the course website, will cover some other topics. On the course website exercises and other material will also be available.


Mix Forme Didattiche
Tipo Forma Didattica Ore didattiche
lezione
50.0
esercitazione
30.0
laboratorio informatico
0.0
laboratorio sperimentale
0.0
progetto
0.0
laboratorio di progetto
0.0

Informazioni in lingua inglese a supporto dell'internazionalizzazione
Insegnamento erogato in lingua Inglese
Disponibilità di materiale didattico/slides in lingua inglese
Disponibilità di libri di testo/bibliografia in lingua inglese
Possibilità di sostenere l'esame in lingua inglese
Disponibilità di supporto didattico in lingua inglese
schedaincarico v. 1.6.5 / 1.6.5
Area Servizi ICT
19/09/2020