On the choice of topics: ¡­

On the choice of topics:

Content will be discussed on first lecture this Wednesday.

This course has usually covered topics in stochastic systems, and that will be at least the main part of the menu for this semester's version as well. There will have to be some optimization (dynamic programming/optimal control theory), with stochastic systems.

We might also cover some of the following (related) topics:

• The mathematics of finance (arbitrage-pricing)
• Filtering (i.e. predictions from a noisy signal)
• Some principles for numerical solutions
• Other suggestions from you?

We intend to start with stochastic optimization, leaving some time to fix the schedule in detail. However, the broad content should be settled on first lecture.

It will be relevant to know whether you have credits in ECON5150 (Mathematics 4) or ECON5160.

-- NCF