必修課程介紹

• 預備知識：probability theory
• 適合年級： 研究生
• 課程簡介：

這是一年度共兩學期，介紹應用隨機控制的課程。

This is an one-year introductory course on applied stochastic control. In the first semester, we will start from the basic of stochastic calculus and its applications. In the second semester, applications to optimal stopping and stochastic control will be treated fully for the processes with continuous paths. Some topics in mathematical finance will also briefly be mentioned.