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Financial Mathematics seminar: Theoretical Foundations and Practical Applications
An Introduction to Stochastic Control with Applications in Mathematical Finance
An Introduction to Stochastic Control with Applications in Mathematical Finance
Organizers
Qiqi Gu
, Jiayi Kang
, Yajuan Wang
Speaker
Fengyi Yuan
Time
Thursday, May 22, 2025 10:00 AM - 11:00 AM
Venue
A3-1-301
Online
Zoom 462 110 5973
(BIMSA)
Abstract
In this talk, I will introduce key methodologies in stochastic control theory and discuss their applications in financial mathematics. The first part will focus on two fundamental approaches: the analytical perspective (dynamic programming principles and PDEs) and the probabilistic perspective (stochastic maximum principles and BSDEs), with an emphasis on the latter due to their flexibility in handling complex financial models. In the second part, I will present two recent studies to showcase the applications: (1) portfolio optimization with nonlinear preferences (e.g., weighted utility), and (2) mean-field control problems and continuous time reinforcement learning. My primary goal is to illustrate how stochastic control tools can address both classical and emerging challenges in finance.