Stochastic Optimal Control: Martingale Theorem

In course

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Description

This lecture covers Stochastic Optimal Control, focusing on Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem. It delves into dynamic programming, the HJB Equation, and the Linear Regulator. The lecture also discusses the optimal investment/consumption law, the Bernoulli Equation, and the State-Price Deflator Property.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_btfytnda

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