28-31 August 2018
Angers - France
Europe/Paris timezone

Optimal (financial) position targeting via decoupling fields

31 Aug 2018, 15:00
30m
Angers - France

Angers - France

Speaker

Stefan Ankirchner (University of Jena)

Description

In the talk we consider a variant of the basic problem of the calculus of variations, where the Lagrangian is convex and subject to randomness adapted to a Brownian filtration. We solve the problem by reducing it, via a limiting argument, to an unconstrained control problem that consists in finding an absolutely continuous process minimizing the expected sum of the Lagrangian and the deviation of the terminal state from a given target position. Using the Pontryagin maximum principle one can characterize a solution of the unconstrained control problem in terms of a fully coupled forward-backward stochastic differential equation (FBSDE). We use the method of decoupling fields for proving that the FBSDE has a unique solution.
The talk is based on joint work with Alexander Fromm, Thomas Kruse and Alexandre Popier.

Primary author

Stefan Ankirchner (University of Jena)

Presentation Materials

There are no materials yet.
Your browser is out of date!

Update your browser to view this website correctly. Update my browser now

×