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

Duality for homogeneous optimisation problems

29 Aug 2018, 16:50
30m
Angers - France

Angers - France

Speaker

Michael Tehranchi (University of Cambridge)

Description

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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