Search for tag: "stochastic control"
Ph.D. course "The mathematics of energy markets" - Lecture 6Stochastic control in continuous time. Dynamic programming and the Hamilton-Jacobi-Bellman equation. Example: gas storage. Computationally simple trees for diffusions.
From Tiziano Vargiolu
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Ph.D. course "The mathematics of energy markets" - Lecture 1Structured products in energy markets. Stochastic control in discrete time: dynamic programming principle and Bellman's equation.
From Tiziano Vargiolu
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Lecture 1Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem.
From Tiziano Vargiolu
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