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SUMMARY:Optimal (financial) position targeting via decoupling fields
DTSTART;VALUE=DATE-TIME:20180831T130000Z
DTEND;VALUE=DATE-TIME:20180831T133000Z
DTSTAMP;VALUE=DATE-TIME:20210622T083307Z
UID:indico-contribution-3147@indico.math.cnrs.fr
DESCRIPTION:Speakers: Stefan Ankirchner (University of Jena)\nIn 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 Bro
wnian filtration. We solve the problem by reducing it\, via a limiting arg
ument\, to an unconstrained control problem that consists in finding an ab
solutely continuous process minimizing the expected sum of the Lagrangian
and the deviation of the terminal state from a given target position. Usin
g 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.\nThe talk is bas
ed on joint work with Alexander Fromm\, Thomas Kruse and Alexandre Popier.
\n\nhttps://indico.math.cnrs.fr/event/3123/contributions/3147/
LOCATION:Angers - France
URL:https://indico.math.cnrs.fr/event/3123/contributions/3147/
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