Search for tag: "stochastic control"

Ph.D. course "The mathematics of energy… duration 1 hour 37 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 6	Ph.D. course "The mathematics of energy markets" - Lecture 6 Stochastic control in continuous time. Dynamic programming and the Hamilton-Jacobi-Bellman equation. Example: gas storage. Computationally simple trees for diffusions. stochastic control hamilton-jacobi-bellman equation dynamic programming computationally simple trees From Tiziano Vargiolu 11 plays 0
Ph.D. course "The mathematics of energy… duration 1 hour 27 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 1	Ph.D. course "The mathematics of energy markets" - Lecture 1 Structured products in energy markets. Stochastic control in discrete time: dynamic programming principle and Bellman's equation. structured product structured contract stochastic control stochastic optimization energy markets From Tiziano Vargiolu 10 plays 0
Lecture 1 duration 1 hour 43 minutes Lecture 1 Lecture 1	Lecture 1 Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem. singular control stochastic control value function variational inequality hamilton-jacobi-bellman equation verification theorem From Tiziano Vargiolu 15 plays 0