BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CERN//INDICO//EN
BEGIN:VEVENT
SUMMARY:Optimal position targeting via decoupling fields
DTSTART;VALUE=DATE-TIME:20180315T130000Z
DTEND;VALUE=DATE-TIME:20180315T140000Z
DTSTAMP;VALUE=DATE-TIME:20200814T082812Z
UID:indico-event-2615@indico.math.cnrs.fr
DESCRIPTION:In the talk we consider a variant of the basic problem of the\
ncalculus of variations\, where the Lagrangian\nis convex and subject to r
andomness adapted to a Brownian filtration. We\nsolve\nthe problem by redu
cing it\, via a limiting argument\, to an unconstrained\ncontrol problem\n
that consists in finding an absolutely continuous process minimizing the\n
expected sum\nof the Lagrangian and the deviation of the terminal state fr
om a given\ntarget position.\nUsing the Pontryagin maximum principle one c
an characterize a solution\nof the unconstrained\ncontrol problem in terms
of a fully coupled forward-backward stochastic\ndifferential equation\n(F
BSDE). We use the method of decoupling fields for proving that the\nFBSDE
has\na unique solution.\nThe talk is based on joint work with Alexander Fr
omm\, Thomas Kruse and\nAlexandre Popier.\n\nhttps://indico.math.cnrs.fr/e
vent/2615/
LOCATION:ICJ Fokko du Cloux
URL:https://indico.math.cnrs.fr/event/2615/
END:VEVENT
END:VCALENDAR