Vorlesung, 2 SWS
Praesenzveranstaltung, Unterrichtssprache Englisch
Zeit und Ort: Mo 10:15 - 11:45, HHP6 - R.EG.001; Di 14:15 - 15:45, HHP6 - R.EG.001
vom 5.6.2023 bis zum 4.7.2023 Bemerkung zu Zeit und Ort: Diese Veranstaltung findet in der zweiten Semesterhälfte statt.
The starting point of this lecture is the question of optimal control of a stochastic system. The question that will be addressed is the following: How should a decision maker optimally behave in controlling a system when the future evolution of the system is uncertain? These questions arise, for instance, in financial mathematics (portfolio optimization, American options...), in games (chess...), engineering or in many other fields. We will deal with this in a first part.
In practice, however, there is often not only one decision maker, but several interacting ones, so that each of them has to include the decisions of the others in his own decision. This brings us to the area of game theory, here in a dynamic setting. In the second part of the lecture, after a bit of general theory, we will consider many examples.
Empfohlene Literatur
Lecture notes and additional literature will be provided