For more information about this meeting, contact Victor Nistor, Anna Mazzucato, Manfred Denker.
|Title:||Cancelled. Will be rescheduled soon: On zero-sum stochastic differential games with unbounded controls|
|Seminar:||Financial Mathematics Seminar|
|Speaker:||Song Yao, University of Pittsburgh|
|We study a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The pay-offs of the game are defined via a (decoupled) forward-backward stochastic differential equation. We prove that each player's priority value satisfies a weak dynamic programming principle and thus solves the associated Hamilton-Jacobi-Bellman-Isaacs equation in the viscosity sense. This is joint work with Erhan Bayraktar.|
Room Reservation Information
|Date:||10 / 30 / 2012|
|Time:||01:20pm - 02:20pm|