Probability III (Stat GR6303) - Fall 2017

This course is for PhD students only.
This course is an advanced introduction to stochastic control, dynamic programming, viscosity solutions of nonlinear parabolic PDEs and backward stochastic differential equations (BSDEs) with examples from mathematical finance. It is based on the following lecture notes:
You can download the eBook from the publisher's website (licensed through Columbia's library services).

Prerequisites: Probability I and II. This will be a fast-paced lecture; students are expected to have some maturity in real analysis, probability theory and stochastic analysis (Ito calculus). Knowledge of PDEs is not required but some prior exposure may be helpful.

Additional reading with more examples: H. Pham (2009), Continuous-time Stochastic Control and Optimization with Financial Applications, Springer Verlag, New York (link).

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