- 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
Information per course offering
Information for Spring 2024 Start 16 Jan 2024 programme students
- Course location
KTH Campus
- Duration
- 16 Jan 2024 - 3 Jun 2024
- Periods
- P3 (3.0 hp), P4 (4.5 hp)
- Pace of study
25%
- Application code
60783
- Form of study
Normal Daytime
- Language of instruction
English
- Course memo
- Course memo is not published
- Number of places
Places are not limited
- Target group
PhD students only
- Planned modular schedule
- [object Object]
- Schedule
- Schedule is not published
- Part of programme
- No information inserted
Contact
Boualem Djehiche (boualem@kth.se)
Course syllabus as PDF
Please note: all information from the Course syllabus is available on this page in an accessible format.
Course syllabus FSF3971 (Spring 2019–)Headings with content from the Course syllabus FSF3971 (Spring 2019–) are denoted with an asterisk ( )
Content 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.
Equipment
No information inserted
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
P, F
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
No information inserted
Opportunity to raise an approved grade via renewed examination
No information inserted
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.
Further information
Course room in Canvas
Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.
Offered by
Main field of study
This course does not belong to any Main field of study.
Education cycle
Third cycle
Add-on studies
No information inserted
Contact
Boualem Djehiche (boualem@kth.se)