Course Overview: The course covers the classical dynamic programming approach to controlled diffusion
systems, with applications to portfolio and consumption problems in continuous time
finance.
+ Motivation: the Merton problems; finite horizon terminal wealth and consumption objectives; infinite horizon consumption problem; direct solution of some examples;
+ Dynamic programming and the HJB equation; finite horizon controlled diffusion problem; dynamic programming principle; martingale optimality principle; verification theorem; examples; infinite horizon problem; dynamic programming
principle; martingale optimality principle; verification theorem; examples.