Recent progress in stochastic control and stochastic differential games

Prof. Dr. Nizar Touzi (École Polytechnique)

23 February 2022, 10:15 - 12:00, HG G 19.2
09 March 2022,     09:15 - 12:00, HG G 19.2

Abstract

The first part of the lectures provides a review of the dynamic programming approach for non Markov stochastic control problem, and shows how these tools allow to handle stochastic differential games. The second part addresses large population control problems and differential games, with application to systemic risk in financial mathematics.