Dear all,

On Wednesday, 22 January 2020 — at 11:30 — at the Scuola Normale Superiore (Room: Aula Fermi) Dr Tiziano De Angelis (University of Leeds) will hold the following Seminar:

Title

Probabilistic results concerning smoothness of the value function and of the free boundary in optimal stopping

Abstract I will present probabilistic proofs of some regularity properties for the value function of general optimal stopping problems and for the associated optimal boundaries. In particular this talk focuses on C^1 regularity of the value function and Lipschitz continuity of the optimal boundary. Most of our arguments rely on fundamental concepts from the theory of Markov processes and bridge the probabilistic and the analytical strands of the literature on free boundary problems. I will also illustrate situations in which our work improves or complements known facts from PDE theory.

(based on https://epubs.siam.org/doi/pdf/10.1137/17M1113709 https://epubs.siam.org/doi/pdf/10.1137/17M1113709 and https://arxiv.org/abs/1812.04564 https://arxiv.org/abs/1812.04564)

Feel free to forward this announcement to your colleagues.

Best

Giulia Livieri