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[Seminars]
An Introduction to Stochastic Filtering and Optimal Control
Dr Zhang Shuaiqi
Department of Statistics and Applied Probability, NUS
 
Wednesday 06 September 2017, 03:00pm - 04:00pm
S16-06-118, DSAP Seminar Room
 

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.