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SUMMARY:BSDE formulation of combined regular and singular stochastic contr
ol problems
DTSTART;VALUE=DATE-TIME:20180831T120000Z
DTEND;VALUE=DATE-TIME:20180831T123000Z
DTSTAMP;VALUE=DATE-TIME:20210622T064218Z
UID:indico-contribution-3151@indico.math.cnrs.fr
DESCRIPTION:Speakers: Ying Hu (University of Rennes 1)\nIn 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 characterizatio
n of approximately optimal values and controls.\nThis is a joint work with
Bruno Bouchard and Patrick Cheridito.\n\nhttps://indico.math.cnrs.fr/even
t/3123/contributions/3151/
LOCATION:Angers - France
URL:https://indico.math.cnrs.fr/event/3123/contributions/3151/
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