Martedi' 23 febbraio alle 14.00 in aula 2AB/45 del Dipartimento di Matematica, via Trieste 63, Padova
Dariusz Zawisza Institute of Mathematics Jagiellonian University in Krakow
terra' un seminario dal titolo:
"Discounted reward control problems and financial applications"
ABSTRACT
We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a smooth classical solution to the corresponding HJB equation. Moreover, some verification reasoning are provided and the possible extension to dynamic games is discussed. At the end consumption - investment problem is considered together with its robust optimization analogue.