Séminaire Jeunes chercheurs (Kim Anh Pham, jeudi 13 février 2025)

La prochaine séance du séminaire Jeunes chercheurs du CEREMADE aura lieu le jeudi 13 février 2025 à 17h en salle A707. Nous aurons le plaisir d'écouter Kim Anh PHAM (CEREMADE), qui nous parlera de

Introduction to Stochastic Optimal Control under Constraints in Finance

Abstract
Among the various subfields of Financial Mathematics, Stochastic Optimal Control under Constraints (SOCC) answers specifically to the question of portfolio optimization while accounting for the stochastic nature of the financial markets and the restrictions imposed on the portfolio management (by regulators, for example). This presentation aims to serve as an introduction to SOCC by blending its theoretical aspects with practical applications and numerical methods. In particular, we will look at (1) a motivating example from Life Insurance, (2) Dynamic Programming Principle as the core of SOCC, and (3) some applications of Deep Learning for numerical estimation of the optimal controls.