Spring 2025  |  ECON 8117 Section 001: Noncooperative Game Theory (54870)

Instructor(s)
Class Component:
Lecture
Credits:
2 Credits
Grading Basis:
Student Option
Instructor Consent:
No Special Consent Required
Instruction Mode:
In Person
Times and Locations:
First Half of Term
 
01/21/2025 - 03/17/2025
Mon, Wed 11:20AM - 01:00PM
UMTC, West Bank
Enrollment Status:
Open (0 of 14 seats filled)
Also Offered:
Course Catalog Description:
Solution concepts for noncooperative games in normal form, including Nash and perfect equilibrium and stable sets of equilibria. Extensive form games of perfect and incomplete information, sequential equilibrium, and consequences of stability for extensive form. Applications including bargaining and auctions. Seven-week course. prereq: Math 5616 or equiv or instr consent
Class Description:

Spring 2024

8117 Stochastic calculus and Dynamic Programing

Instructor: Aldo Rustichini

The course is an introduction to basic concepts of stochastic calculus and application in economic analysis and finance. The aim of the course is to provide a treatment of the prerequisites. The requirements are basic probability and real analysis concepts; these will be reviewed in the first lectures.

A. Introduction

A.1 Dynamic Programming in Continuous time

B. Basic probability Concepts

Section B.1. Prerequisites: sigma-field, measurable function, probability measure, Probability spaces

Section B.2. Stochastic processes, filtration, stopping times

Section B.3. Conditional expectation

Section B.4. Discrete time martingales

C. Stochastic Calculus

Section C.1. Convergence of Random Variable

Section C.2. Brownian Motion

Section C.3. Ito's Integral

Section C.4. Stochastic Differential Equations and Ito's Lemma

D. Optimization with Diffusion processes

Section D.1 Value Function

Section D.2. HJB equation

Section D.3. Viscosity Solutions
Who Should Take This Class?:
Students who plan to work with dynamic programing in continuous time. This is a methods course; the emphasis is on the techniques.
Textbooks:
https://bookstores.umn.edu/course-lookup/54870/1253
Instructor Supplied Information Last Updated:
4 December 2023

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