Speaker: Jianjun Zhou, professor, College of Science, Northwest A&F University

Date: January 23, 2024

Time: 9:00-11:00

Location: B1248, Zhixin Building, Shandong University

Sponsor: Zhongtai Securities Institute for Financial Studies, Shandong University

Abstract:

In this talk, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic differential equations. I identify the value functional of optimal control problems as unique viscosity solution to the associated PHJB equations.

For more information, please visit:

http://mathfinance.sdu.edu.cn/info/1273/7392.htm