Department Seminars & Colloquia

Category SAARC Seminar
Event SAARC Seminar
Title Stefan problem via optimal stopping time
Abstract We consider an optimal transport problem where the cost depends on the stopping time of Brownian motion from a given distribution to another. When the target measure is fixed, it is often called the optimal Skorokhod embedding problem in the literature, a popular topic in math finance. Under a monotonicity assumption on the cost, the optimal stopping time is given by the hitting time to a space-time barrier set. When the target measure is optimized under an upper bound constraint, we will show that the optimal barrier set leads us to the Stefan problem, a free boundary problem for the heat equation describing phase transition between water and ice. This is joint work with Young-Heon Kim at UBC.
Daytime 2022-06-10 (Fri) / 10:00 ~ 11:00 ** 날짜에 유의하세요. **
Place Zoom (ID: 683 181 3833 / PW: saarc)
Language To be announced
Speaker`s name Inwon Kim
Speakers`s Affiliation University of California, Los Angeles(UCLA Math)
Speaker`s homepage
Other information
Hosts 확률 해석 및 응용 연구센터
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담당자 확률 해석 및 응용 연구센터
연락처 042-350-8111/8117