Aug 28 – 31, 2018
Angers - France
Europe/Paris timezone

Duality for homogeneous optimisation problems

Aug 29, 2018, 4:50 PM
Angers - France

Angers - France


Michael Tehranchi (University of Cambridge)


This talk is concerned with stochastic optimal control problems with a certain homogeneity. For such problems, a novel dual problem is formulated. The results are applied to a stochastic volatility variant of the classical Merton problem. Another application of this duality is to the study the right-most particle of a branching Levy process.

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