28-31 août 2018
Angers - France
Fuseau horaire Europe/Paris

BSDE formulation of combined regular and singular stochastic control problems

31 août 2018 à 14:00
30m
Angers - France

Angers - France

Orateur

Ying Hu (University of Rennes 1)

Description

In this talk, we study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But the BSDE formulation makes it possible to move beyond Markovian models and consider path-dependent problems. We also provide an approximation of the original control problem with standard BSDEs that yield a characterization of approximately optimal values and controls.
This is a joint work with Bruno Bouchard and Patrick Cheridito.

Auteur principal

Ying Hu (University of Rennes 1)

Documents de présentation

Aucun document.
Your browser is out of date!

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

×