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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
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.