|Date: Wednesday, March 16, 2016
Location: 3088 East Hall (3:00 PM to 4:00 PM)
Title: Weak Solution for Fully Nonlinear Stochastic Hamilton-Jacobi-Bellman Equations and its Applications
Abstract: This talk is concerned with the stochastic Hamilton-Jacobi-Bellman (HJB) equation with controlled leading coefficients, which is a type of fully nonlinear stochastic partial differential equation (SPDE). In order to formulate the weak solution for such kind of SPDEs, a class of regular random parabolic potentials are introduced in the stochastic framework. The existence and uniqueness of weak solution is proved, which seems new even for the classical HJB equations. For the partially non-Markovian case, we obtain the associated gradient estimate. The applications in finance and economics will be discussed as well if time allows.
Speaker: Jinniao Qiu
Event Organizer: Erhan Bayraktar firstname.lastname@example.org