Dear all,
On JUNE 18th, at the Department of Mathematics of the University of Bologna, room Vitali, and online at this LINK https://teams.microsoft.com/l/meetup-join/19:meeting_NzYzZTc5ZDgtZjAxYi00NDBiLTk5MzUtYmRmN2RkMDJhMTVh@thread.v2/0?context=%7B%22Tid%22:%22e99647dc-1b08-454a-bf8c-699181b389ab%22,%22Oid%22:%22f8d5d59c-fb5e-43ee-8657-94cfd59017c2%22%7D, the following seminar will take place: 11:00-12:00: Giuseppina GUATTERI “MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL PROBLEMS WITH DELAYS IN THE NON CONVEX CASE”
as part of the cycle Stochastics and Applications.
ABSTRACT: We establish a stochastic maximum principle for controlled stochastic differential equations with delay and control-dependent noise, without convexity assumptions on the control space. The cost functional depends on both present and delayed states, modeled via general finite measures. For measures with square-integrable densities, we employ infinite-dimensional reformulation and BSDE techniques; for general measures, we apply anticipated BSDEs and weak convergence methods. We further analyze the case of delay measures with $L^p$-densities ($p \in (1,2)$), deriving a generalized mild backward equation beyond Hilbertian settings.
For any question, please contact the organizers: Elena Bandini (elena.bandini7@unibo.it mailto:elena.bandini7@unibo.it), Antonello Pesce (antonello.pesce2@unibo.it mailto:antonello.pesce2@unibo.it)