Diffondo volentieri
Mario
---------- Forwarded message ---------
Da: Stefan Geiss <geiss(a)jyu.fi>
Date: lun 2 giu 2025 alle ore 07:58
Subject: Fwd: International Seminar on SDEs and Related Topics: Rainer
Buckdahn June 06
To: <gianmario.tessitore(a)unimib.it>
Dear Mario,
we got the info for next week's talk.
Best wishes
Stefan
------------------------------------------------
Friday, June 06,
(12:30 noon London, 1:30 pm Berlin, 2:30 pm Helsinki, 7:30 pm Beijing)
in the *International Seminar on SDEs and Related Topics* in Zoom
https://jyufi.zoom.us/j/61891007917
*Rainer Buckdahn*
(Université de Bretagne Occidentale, Brest, France,
Shandong University Qingdao, China)
will speak about
*Optimal control problems with generalized mean-field dynamics*
*and viscosity solutions to a Master Bellman equation*
Abstract: We study an optimal control problem with generalized
mean-field dynamics with open-loop controls, where the coefficients
depend not only on the state processes and controls, but also on the
joint law of them. The value function V which is defined in a classical
way, does not satisfy the Dynamic Programming Principle (DPP for short).
Indeed, we show that V solely satisfies the one-sided DPP.
For this reason we introduce subtly a novel value function ϑ, which is
closely related to the original value function V, so that a
characterisation of ϑ as a solution of a partial differential equation
(PDE) also characterises V. We establish the DPP for ϑ. By using an
intrinsic notion of viscosity solution, initially introduced in Burzoni,
Ignazio, Reppen and Soner and specifically tailored to our framework, we
show that the value function ϑ is a viscosity solution to a Master
Bellman equation on a subset of the Wasserstein space of probability
measures with second order moment. The uniqueness of the viscosity
solution is proved for coefficients which depend on the time and the
joint law of the control process and the controlled process.
The talk is based on joint work with Juan Li (SDU, Qingdao and Weihai)
and Zhanxin Li (SDU, Weihai).
==== about the speaker ====
Rainer Buckdahn studied Mathematics at the Friedrich Schiller University
Jena (Germany) and obtained his doctoral degree, directed by H.-J.
Engelbert, in 1985. After that he held a position at the Humboldt
University Berlin and completed his habilitation in 1992. In 1994 he
became a professor at the University of Western Brittany (Brest,
France). Rainer Buckdahn is a leading specialist in stochastic process
theory with an emphasis on stochastic control and differential games,
stochastic differential equations, various types of backward stochastic
differential equations, and stochastic partial differential equations.
Rainer Buckdahn was awarded a fellowship by the French Ministry of
Research and Technology and a Heisenberg grant by the German "Deutsche
Forschungsgesellschaft". He is also a member of the Academic Faculty of
the "Research Centre for Mathematics and Interdisciplinary Sciences
Centre" at Shandong University (China). Finally, he acts as executive
editor of the journal "Probability, Uncertainty and Quantitative Risk".
--
Gianmario Tessitore
Dipartimento di Matematica e Applicazioni
Università degli Studi di Milano-Bicocca