This course addresses problems of optimal stopping, presenting one of the most used methodology: the Hamilton-Jacobi-Bellman (HJB) equations.
Optimal stopping problems are free-boundary problems, and it is, therefore, necessary to invoke verification theorems to prove that a solution of the HJB equation is also a solution to the optimisation problem. We will focus on the best time for a company to invest in a specific market, in order to increase its investment performance.
This course is intended for master students with interest in financial applications and/or applications of differential equations and free boundary problems.
Course start date: 16th March 2020
Course end date: 16th March 2021
Applications start date: 11th March 2020
Applications deadline: 15th March 2021