- Optimal control. Dynamic programming, the HJB Equation, the maximum principle
- Backward stochastic differential equations.
- Forward-backward stochastic differential equations. Duality.
- Mean-field type control
- Mean-field games
- Applications
FSF3971 Optimal Stochastic Control and Backward Stochastic Differential Equations 7.5 credits
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About course offering
For course offering
Spring 2024 Start 16 Jan 2024 programme students
Target group
PhD students only
Part of programme
No information insertedPeriods
P3 (3.0 hp), P4 (4.5 hp)Duration
Pace of study
25%
Form of study
Normal Daytime
Language of instruction
English
Course location
KTH Campus
Number of places
Places are not limited
Planned modular schedule
Course memo
Course memo is not publishedSchedule
Schedule is not publishedApplication
For course offering
Spring 2024 Start 16 Jan 2024 programme students
Application code
60783
Contact
For course offering
Spring 2024 Start 16 Jan 2024 programme students
Contact
Boualem Djehiche (boualem@kth.se)
Examiner
No information insertedCourse coordinator
No information insertedTeachers
No information insertedContent and learning outcomes
Course contents
Intended learning outcomes
After completing the course the students are expectedto
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Explain the dynamic programming principle and its connection to partial differential equations
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Have a good understanding of the maximum principle
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Have a good understanding of backward stochastic differential equations.
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Outline the foundations mean-field games and its relation to control and BSDEs
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Explain and motivate the methods in different applications
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Be able to solve problems and discuss research questions related to the theory.
Literature and preparations
Specific prerequisites
A Master’s degree in mathematics, applied mathematics or related field including at least 30 ECTS in mathematics and SF3940 Probability.
Recommended prerequisites
Equipment
Literature
The literature consists of a draft of the following book:
T. Basar, B. Djehiche and H. Tembine (2014-2017), Mean-Field-Type Game: Foundations and New Directions
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
Examination
- HEM1 - Home assignments, 3.5 credits, grading scale: P, F
- TENM - Oral exam, 4.0 credits, grading scale: P, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Homework and an oral exam.
Other requirements for final grade
Homework and an oral exam.
Opportunity to complete the requirements via supplementary examination
Opportunity to raise an approved grade via renewed examination
Examiner
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.