lesson

In the last weeks (18., 19., 25., 26. April, 2., 3., 9. May) we discussed some other central results of stochastic analysis as e.g. Dynkin?s formula, Girsanov?s theorem and the Feynman-Kac representation formula, which gives a probabilistic representation of solutions to Cauchy problems and which can be used for the construction of solutions to certain partial differential equations (see chapters 7 and 8 in ?ksendal). Further, we also studied the Hamilton-Jacobi-Bellman equation in connection with stochastic control problems. In our last lesson on Wednesday, 16. May we aim at finishing chapter 11 on stochastic control theory in the book of ?ksendal.