ep46 - The fall of LTCM: Bachelier, Merton, and Black–Scholes ... when stochastic control met Wall Street
inControl15 Juli

ep46 - The fall of LTCM: Bachelier, Merton, and Black–Scholes ... when stochastic control met Wall Street

Outline 00:00 - Intro 02:25 - Bachelier and the Théorie de la Spéculation 03:05 - Stochastic processes, Brownian motion, and the heat equation 09:45 - Poincaré's verdict, obscurity, and rediscovery 13:50 - Robert C. Merton: from hot rods to MIT 19:25 - Dynamic programming and Itô calculus 24:35 - Merton's portfolio problem as stochastic optimal control 31:10 - Options, dynamic hedging, and the Black–Scholes–Merton equation 39:50 - LTCM: the dream team 46:30 - August 1998: the crash 49:00 - Fa...

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Avsnitt(46)

ep45 - Peter Caines: from stochastic and adaptive control to mean field games, graphons, and beyond!

ep45 - Peter Caines: from stochastic and adaptive control to mean field games, graphons, and beyond!

Outline 00:00 - Intro 02:10 - London in the 1960s 12:40 - From Oxford to Imperial College: David Mayne and the discrete-time Riccati equation 18:05 - The "global tour": Montenegro roads, hitch-hiki...

15 Juni 1h 32min

ep44 - Mario di Bernardo: From Circuits to Cells and Swarms — Control meets Complexity

ep44 - Mario di Bernardo: From Circuits to Cells and Swarms — Control meets Complexity

Outline 00:00 - Intro 01:30 - Origin story: Naples, electrical engineering, and the fascination with chaos 08:00 - What is chaos? 15:00 - DC-DC converters and discontinuity-induced bifurcations 22:...

15 Maj 1h 29min

ep43 - Steve Brunton: DMD, Koopman, SINDy, Eigensteve Channel, HydroGym, Optimization, and much more

ep43 - Steve Brunton: DMD, Koopman, SINDy, Eigensteve Channel, HydroGym, Optimization, and much more

Outline 00:00 - Intro 01:15 - Origin story: early path and the road to science 04:20 - On graphical visualization and aphantasia 08:08 - The interest in fluid dynamics 12:00 - Caltech, Jerry Marsde...

15 Apr 1h 14min

ep42 - inControl guide to ... the Nyquist criterion

ep42 - inControl guide to ... the Nyquist criterion

Outline 00:00 – Intro 04:43 – Life and background 08:45 – Bell Labs 13:42 – Inventing the negative feedback amplifier 18:15 – Nyquist's landmark contributions 20:43 – Regeneration theory 27:10 – Frequ...

16 Mars 1h 9min

ep41 - A minimal history of optimal control

ep41 - A minimal history of optimal control

Outline 00:00 - Intro 02:55 - Brachistochrone problem 20:52 - Beginning of the calculus of variations 32:00 - Principle of least action 42:37 - Maximum principle 1:02:35 - Dynamic programming 1:11:12 ...

16 Feb 1h 31min

ep40 - Jeff Shamma: gain scheduling, nonlinear control, learning & dissipativity in games, jiu-jitsu

ep40 - Jeff Shamma: gain scheduling, nonlinear control, learning & dissipativity in games, jiu-jitsu

Outline 00:00 - Intro 03:18 - Early days: why control, M. Athans, and IDSS 12:21 - What is gain scheduling? 33:37 - Paradigm shifts & the ‘90s: Minnesota → Texas → LA 42:19 - Robustness & fundamental...

15 Jan 2h 11min

ep39 - Female influencers in control

ep39 - Female influencers in control

Outline 00:00 - Intro 05:01 - Female Influencers in Control — The Backstory 08:08 - Sofya Kovalevskaya 15:21 - Irmgard Lotz 26:16 - A new wave of control influencers 34:26 - Some data 43:38 - What can...

16 Dec 20251h 6min

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