Hamilton-Jacobi-Bellman Equations

This course is devoted to selected problems of classical (theoretical) and fluid mechanics which are usually remain outside the standard course of mechanics. Despite the fact that the course is aimed at students with an understanding of the methods and approaches of classical and fluid mechanics, several lectures of [...]

This course address problems of optimal stopping, namely in financial applications, presenting one of the most used methodology: the Hamilton-Jacobi-Bellman equations.