Speaker: Saïd Hamadène is a full Professor at Le Mans Université. In 1986 he received his PhD under the supervision of Jean-Pierre Lepeltier in the field of probability and in 1994 a second PhD in applied sciences. His research interests include optimal stochastic control, zero-sum and nonzero-sum stochastic differential games, BSDEs in the classical and mean field setting, viscosity solutions of PDEs, optimal switching and financial mathematics. He has contributed to the development of these fields with more than 67 research papers. He is also active as a board member of several journals in his field.

Date: April 17, 2026

Time: 19:30-20:30 pm

Location: Scan the QR code to watch the live broadcast.

Sponsor: Research Center for Mathematics and Interdisciplinary Sciences, Shandong University

Abstract:

In this talk we discuss the optimal multiple modes switching problem in finite horizon when the costs associated with the changes of regimes do not have a constant sign. From the economic point of view, this corresponds to the framework where the change of modes generates subsidies.

The problem is solved by means of probabilistic tools. The main assumption is the monotonicity of the switching costs. In the Markov setting, the associated HJB system of PDEs is also considered. We show the existence and uniqueness of the solution in viscosity sense. Switching problems get involved in energy markets, financial markets, cybersecurity fields, etc.

This is a joint work with B. EIAsri and M. Souheil (Agadir University).

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/211204.htm