Cari Colleghi
lunedì prossimo 12 Aprile dalle 16 alle 18 avrà luogo il prossimo incontro per il ciclo di seminari Prisma. Gli speaker saranno Marco Fuhrman e Andrea Cosso, qui sotto titoli, abstract ed il link al collegamento Teams.
---------------------------------------------------------------- Speaker: Marco Fuhrman (Università di Milano)
Title: A new tool in stochastic optimal control: the randomization method.
Abstract: In the first part of this talk I will present a survery on the relationships among classical stochastic optimal control problems, non-linear partial differential equations (the Hamilton-Jacobi-Bellman equations) and backward stochastic differential equations (BSDEs). In the second part, more specifically, I will introduce the so-called randomization method, which allows to associate an appropriate BSDE to a large class of optimal control problems. Among the possible generalizations, I will concentrate on optimal control of path-dependent equations, i.e. equations with general with memory effects.
Speaker: Andrea Cosso (Università di Bologna)
Title: Randomization method and path-dependent Hamilton-Jacobi-Bellman equation
Abstract: In the present talk I will study a stochastic optimal control problem with path-dependent coefficients. I will exploit the so-called randomization method to derive a dynamic programming principle for the value function. This allows to prove that the value function is a viscosity solution to a path-dependent Hamilton-Jacobi-Bellman equation, involving the horizontal and vertical derivatives of functional Ito calculus. Finally, I will discuss the validity of the comparison principle for such a partial differential equation.
Collegamento Teams:
https://teams.microsoft.com/l/meetup-join/19%3a667d2414be564c5d8fba30acffeb8...
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Grazie per l'attenzione, Domenico Marinucci e Claudia Ceci