An introduction to stochastic optimal control problem for continuous time dynamic stochastic general equilibrium model


Financial market variables are usually modeled stochastic differential equations, and are observed at much higher frequency than economic variables such as GDP, unemployment and inflation. For many important applications in banking, such as comprehensive capital analysis and review (CCAR), it is important to be able to model the joint dynamics of high frequency financial variables and the low frequency macroeconomic variables.    In this talk, we will introduce one of the methods for handling this difficult modeling problem,  the related high dimensional multi-agent joint stochastic optimal control problem, as well as related applications in finance and banking


Chak Wong runs the time series and reinforcement learning group of the Machine Learning Center of Excellence of JP Morgan.  He is also a professor of science practice in the mathematics department of the Hong Kong University of Science and Technology.  He had run various business groups as a trader, sales, IBD banker and quant fund manager in various banks and asset managers in New York, London and Hong Kong