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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 12 plays 0