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ST411 - Dynamic Stochastic Control

  • Module code: ST411
  • Module name: Dynamic Stochastic Control
  • Department: Statistics
  • Credit: 15

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

This module is designed to cover the important area of stochastic control within applied probability. The taught material will prepare students for careers in business, industry or government and will also lead up to the boundaries of research.

Principal learning outcomes

Students who have successfully completed this module will be able to:Identify and deal with stochastic control and optimal stopping problems; Solve simple Hamilton-Jacobi-Bellman equations; Apply the above techniques to finance, to clinical trials and to the planning of production processes.

Timetabled teaching activities

3 x 1-hour lectures per week, 3 examples classes in the term, 1 revision class.

Departmental link

http://www2.warwick.ac.uk/fac/sci/statistics/courses/modules/years3-4/st411

Other essential notes

Prerequisite(s): ST318 Probability Theory; ST333 Applied Stochastic Processes.

Module assessment

Assessment group Assessment name Percentage
15 CATS (Module code: ST411-15)
B (Examination only) 2 hour examination (Summer) 100%

Module availability

This module is available on the following courses:

Core

N/A

Optional Core

N/A

Optional
  • Undergraduate Mathematics (BSc) (G100) - Year 3
  • Undergraduate Mathematics with Intercalated Year (G101) - Year 4
  • Undergraduate Mathematics (MMath) (G103) - Year 3
  • Undergraduate Mathematics (MMath) (G103) - Year 4
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 3
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 4
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 5
  • Undergraduate Mathematics (MMath) with Study in Europe (G106) - Year 4
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 3
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 5