학과 세미나 및 콜로퀴엄

구분 학과 세미나/콜로퀴엄
분류 기타
제목 Lectures on the Stochastic Control Problem on Finite Horizon and Some Related Issues
Abstract
Abstract:
This talk is designed for 3-hours crash course for graduate students 
who may have backgrounds in probability and stochastic analysis, but not in stochastic control theory.
 
It consists of two parts. 
The first part will be general introductions on two popular techniques in control theory: dynamic programming principle (DPP) with HJB equations, pontryagin maximal principle with FBSDE.
 
Classic Merton’s portfolio optimization will be used to show the utilisation of the above two methodologies. 
 
The second part is deemed to be research oriented topic, in which some delicate measurable issues will be  addressed in the proof of DPP. In this regard, the rigorous proof of DPP for the general control framework is  still widely open. We then determine a weaker sufficient condition than that of Theorem 5.2.1 in the book [Fleming and Soner (2006)] for the continuity of the value functions, which eventually leads to the proof of DPP in stochastic exit time control problems. Some further possible development will be also discussed. 
 
All talk will be focused on finite time horizon. Some part is taken from the paper
 
“On the continuity of stochastic exit time control problems” by E. Bayraktar, Q. Song, and J. Yang.
일시 2014-09-25 (Thu) / 16:00 ~ 17:30
장소 산업경영학동(E2) Room 3221
강연언어 영어
강연자성명 Qingshuo Song
강연자소속 City University of Hong Kong
강연자홈페이지
기타정보
초청인 강완모
URL
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