Training and Research
PhD Programme Courses/classes
This page shows the PhD course's training activities for the academic year 2024/2025. Further activities will be added during the year. Please check regularly for updates!
Introduction to Economics
Credits: 5
Language: English
Teacher: Roberto Ricciuti
Mathematics
Credits: 3.8
Language: English
Teacher: Andrea Mazzon
Probability
Credits: 7.5
Language: English
Teacher: Marco Minozzo
Mathematical Statistics
Credits: 5
Language: English
Teacher: Lorenzo Frattarolo, Claudia Di Caterina
Continuous Time Econometrics
Credits: 5
Language: English
Teacher: Chiara Amorino, Amorino Chiara, Cecilia Mancini
Macroeconomics I
Credits: 7.5
Language: English
Teacher: Khalid W A Shomali, Alessia Campolmi
Microeconomics 1
Credits: 7.5
Language: English
Teacher: Claudio Zoli, Martina Menon, Maurizio Malpede
Field Experiments
Credits: 1
Language: Italian
Teacher: Pol Campos
Game Theory
Credits: 5
Language: English
Teacher: Francesco De Sinopoli
Elements of Financial Risk Management
Credits: 2.5
Language: English
Teacher: Prof. Kim Christensen
Stochastic Optimization and Control
Credits: 5
Language: English
Teacher: Athena Picarelli
Financial Time Series
Credits: 5
Language: English
Teacher: Giuseppe Buccheri
Job Market Orientation
Credits: 1
Language: English
Teacher: Simone Quercia
Advice to Young Researchers
Credits: 4
Language: English
Teacher: Marco Piovesan
Behavioral and Experimental Economics
Credits: 4
Language: English
Teacher: Simone Quercia, Maria Vittoria Levati, Marco Piovesan
Development economics
Credits: 4
Language: English
Teacher: Federico Perali
Matematica Finanziaria
Credits: 5
Language: English
Teacher: Guido Gazzani, Alessandro Gnoatto
Health Economics
Credits: 4
Language: English
Teacher: Paolo Pertile
Inequality
Credits: 4
Language: English
Teacher: Francesco Andreoli, Claudio Zoli
Political Economy
Credits: 4
Language: English
Teacher: Emanuele Bracco, Roberto Ricciuti
Quantitative research methods
Credits: 6.8
Language: English
Teacher: Luca Grassetti, Francesca Visintin, Laura Pagani
Stochastic Processes in Finance
Credits: 5
Language: English
Teacher: Sara Svaluto Ferro
Stochastic Optimization and Control (2024/2025)
Teacher
Referent
Credits
5
Language
English
Class attendance
Free Choice
Location
VERONA
Learning objectives
The course deals with continuous-time stochastic control problems and presents their applications in the field of finance. Topics covered include the maximum principle and dynamic programming, free boundary problems, optimal control and backward stochastic equations, numerical approximation, differential games.
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
Frontal teaching.
Learning assessment procedures
Oral presentation
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
Evaluation of the presentation
Scheduled Lessons
| When | Classroom | Teacher | topics |
|---|---|---|---|
|
Tuesday 28 January 2025 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | From optimisation to optimal control. Main definitions. Euler-Lagrange equations. Pontryagin maximum principle. |
|
Tuesday 04 February 2025 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Proof of the Pontryagin Maximum Principle. Generalities on backward stochastic differential equations. |
|
Wednesday 05 February 2025 09:30 - 11:30 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Dynamic programming principle and Hamilton-Jacobi-Bellman equation |
|
Tuesday 11 February 2025 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Viscosity solutions to HJB equation and comparison principle |
|
Wednesday 12 February 2025 09:30 - 11:30 Duration: 2:00 AM |
Polo Santa Marta - SMT.04 [SMT.4 - terra] | Athena Picarelli | Other optimal control problems: infinite horizon, optimal stopping, problems with exit times, state constrained problems. |
|
Tuesday 18 February 2025 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | Impulsive optimal control problems. About the link between optimal control and BSDEs. |
|
Wednesday 19 February 2025 09:30 - 11:30 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Athena Picarelli | The martingale method for solving optimal investment problems. Example. Numerical methods for optimal control. |
|
Wednesday 26 February 2025 09:30 - 11:30 Duration: 2:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] |
