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COLLOQUIUM Ana Bela Cruzeiro « Some pathwise stochastic control problems »
jeudi 23 novembre 2023
jeudi 23 novembre 2023
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René Baire (IMB)
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Speakers: Ana Bela Cruzeiro (IST, Universidade de Lisboa)
We consider pathwise stochastic optimal control problems and derive the corresponding Hamilton-Jacobi-Bellman stochastic partial differential equations. We show that the value processes are the unique solutions of these equations, in the viscosity sense. The processes are not necessarily adapted.This is a joint work with N. Bhauryal (Univ. of Lisbon) and C. Oliveira (NTNU, Norway).
https://indico.math.cnrs.fr/event/10637/
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