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An Introduction to Stochastic Filtering and Optimal Control

Dr Zhang Shuaiqi Department of Statistics and Applied Probability, NUS

Date:06 September 2017, Wednesday

Location:S16-06-118, DSAP Seminar Room

Time:03:00pm - 04:00pm

 

In this talk, we will present some examples which call for the combined study of stochastic filtering and control. We will first introduce the theory of nonlinear filtering. Then, we will introduce the stochastic maximum principle and for optimal control problems. A few examples from mathematical finance will be considered. Also, we will show the numerical solution of forward-backward stochastic equations which arises from the control problem. Finally, an optimal investment problem with inside information is given to illustrate the application of dynamic programing principle in actuarial science.