COLLOQUIUM Ana Bela Cruzeiro "Some pathwise stochastic control problems"

par Prof. Ana Bela Cruzeiro (IST, Universidade de Lisboa)

jeudi 23 nov. 2023, 16:30 → 17:30 Europe/Paris

René Baire (IMB)

We consider pathwise stochastic optimal control problems and derive the corresponding Hamilton-Jacobi-Bellman stochastic partial differential equations. We show that the value processes are the unique solutions of these equations, in the viscosity sense. The processes are not necessarily adapted.

This is a joint work with N. Bhauryal (Univ. of Lisbon) and C. Oliveira (NTNU, Norway).