Training and Research
PhD Programme Courses/classes
Mathematical Statistics
Credits: 5
Language: English
Teacher: Catia Scricciolo
Microeconomics 1
Credits: 7.5
Language: English
Teacher: Simona Fiore, Claudio Zoli, Martina Menon
Continuous Time Econometrics
Credits: 5
Language: English
Teacher: Cecilia Mancini
Probability
Credits: 7.5
Language: English
Teacher: Marco Minozzo
Macroeconomics I
Credits: 7.5
Language: English
Teacher: Tamara Fioroni, Alessia Campolmi
Game Theory
Credits: 5
Language: English
Teacher: Francesco De Sinopoli
Mathematics
Credits: 4.5
Language: English
Teacher: Andrea Mazzon, Jonathan Yick Yeung Tam
Advice to Young Economists
Credits: 4
Language: English
Teacher: Marco Piovesan
Stochastic Optimization and Control
Credits: 5
Language: English
Teacher: Athena Picarelli
Financial Time Series
Credits: 5
Language: English
Teacher: Giuseppe Buccheri, Francesca Rossi
Mean Field Games (part I)
Credits: 2.5
Language: English
Teacher: Luciano Campi
Job Market Orientation
Credits: 1
Language: English
Teacher: Joan Madia, Simone Quercia
Discretization of Processes
Credits: 4.5
Language: English
Teacher: Jean Jacod
Topics in applied economics with administrative data
Credits: 1
Language: English
Teacher: Edoardo Di Porto
Multivariate Analysis with Latent Variables: The SEM Approach
Credits: 3
Language: English
Teacher: Albert Satorra
Finanza Matematica
Credits: 5
Language: English
Teacher: Alessandro Gnoatto
Political Economy
Credits: 4
Language: English
Teacher: Emanuele Bracco, Roberto Ricciuti
Finite Mixture Models in Health Economics: Theory and Applications
Credits: 1
Language: English
Teacher: Paolo Li Donni
Inequality
Credits: 4
Language: English
Teacher: Francesco Andreoli, Claudio Zoli
Behavioral and Experimental Economics
Credits: 4
Language: English
Teacher: Simone Quercia, Maria Vittoria Levati, Marco Piovesan
Health Economics
Credits: 4
Language: English
Teacher: Paolo Pertile
Development economics
Credits: 4
Language: English
Teacher: Federico Perali
Finance
Credits: 4
Language: English
Teacher: Giorgio Vocalelli
Mean Field Games (part II)
Credits: 2.5
Language: English
Teacher: Giulia Liveri
Stochastic Processes in Finance
Credits: 5
Language: English
Teacher: Sara Svaluto-Ferro, Christa Cuchiero
Dynamic Corporate Finance
Credits: 2
Language: Englìsh
Stochastic Optimization and Control (2023/2024)
Teacher
Referent
Credits
5
Language
English
Class attendance
Free Choice
Location
VERONA
Learning objectives
The course presents the main techniques of stochastic optimal control in continuous time and its applications in finance.
Prerequisites and basic notions
Stochastic calculus, ordinary and partial differential equations. Basics of numerical analysis.
Program
Introduction to stochastic optimal control in continuous time;
Maximum Principle;
Dynamic Programming Principle;
Optimal Control and backward stochastic differential equations;
Numerical approximation;
Free boundary problems, constrained problems.
Bibliography
Didactic methods
Lectures
Learning assessment procedures
Written test
Assessment
It will be evaluated the ability of the student to apply the presented techniques to solve optimal control problems.
Criteria for the composition of the final grade
Obtained mark in the written test
Scheduled Lessons
| When | Classroom | Teacher | topics |
|---|---|---|---|
|
Monday 15 January 2024 15:00 - 17:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Introduction to stochastic control: from calculus of variations and deterministic optimal control to the stochastic case. Definition of value function and optimal control. Example: Merton portfolio selection problem. |
|
Monday 22 January 2024 15:00 - 18:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | The Pontryagin Maximum Principle. Sketch of the proof. Introduction to backward stochastic differential equations. |
|
Thursday 25 January 2024 15:00 - 18:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | The Dynamic Programming Principle. Sketch of the proof. Formal derivation of the Hamilton-Jacobi-Bellman equation. Example of non smooth value function. |
|
Thursday 15 February 2024 15:00 - 17:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Viscosity solutions to HJB equation and comparison principle. |
|
Monday 19 February 2024 15:00 - 17:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Other optimal control problems: infinite horizon problems and optimal stopping problems |
|
Thursday 22 February 2024 15:30 - 17:00 Duration: 1:30 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Optimal control problems with exit time and state constrained problems |
|
Monday 26 February 2024 14:30 - 17:00 Duration: 2:30 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Impulsive optimal control problems and optimal switching. An overview on the link between optimal control and BSDEs: Pntryagin, Dynamic Programming, weak formulation. Martingale method for utility maximization problems. |
|
Thursday 29 February 2024 15:00 - 17:00 Duration: 2:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Athena Picarelli | Massimizzazione di utilità attesa attraverso il metodo martingala. Soluzione numerica di problemi di controllo stocastico: introduzione. |
|
Thursday 07 March 2024 14:00 - 16:00 Duration: 2:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Athena Picarelli | Metodi numerici: monotonia, stabilità, consistenza. Convergenza all'unica soluzione di viscosità dell'equazione HJB. Metodi semi-Lagrangiani. |
