Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.
Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.
Explores KKT conditions in convex optimization, covering dual problems, logarithmic constraints, least squares, matrix functions, and suboptimality of covering ellipsoids.
