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

BSDE formulation of combined regular and singular stochastic control problems

31 Aug 2018, 14:00
30m
Angers - France

Angers - France

Speaker

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.

Primary author

Ying Hu (University of Rennes 1)

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