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Dynamic Programming Principle and Associated Hamilton-Jacobi-Bellman Equation for Stochastic Recursive Control Problem with Non-Lipschitz Aggregator
澳门新葡8455最新网站:2016年06月02日 00:00 点击数:

报告人:张奇

报告地点:澳门新葡8455最新网站615室

报告澳门新葡8455最新网站:2016年06月06日星期一10:30-11:30

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报告摘要:

In this work, we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the running cost is continuous, but not necessarily Lipschitz with respect to the first unknown variable and the control, and monotonic with respect to the first unknown variable. The dynamic programming principle and the connection between the value function and the viscosity solution of the associated Hamilton-Jacobi-Bellman equation are established in this setting, by the generalized comparison theorem of backward stochastic differential equations and the stability of viscosity solutions. Finally, we take the control problem of continuous-time Epstein-Zin utility with non-Lipschitz aggregator as an example to demonstrate the application of our study.

主讲人概况:

复旦大学数学科学新葡京最新官网副教授

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