Il giorno Mercoledì 9 Aprile, alle ore 17 [ rinfresco ore 16:45 ] presso il Dipartimento di Informatica Università degli studi di Verona , strada le Grazie 15, Verona
Lucian Maticiuc "G. Asachi" Technical University, Romania
terrà un seminario dal titolo
Stochastic Differential Delay Systems and Optimal Control Problems
*Abstract* We show the existence and the uniqueness of the solution for some multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type). Afterwards we consider optimal control problems where the state X is a solution of a controlled delay stochastic system as above. We establish the dynamic programming principle for the value function and finally we prove that the value function is a viscosity solution for a suitable Hamilton- Jacobi-Bellman type equation.
__ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance
Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968
Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686