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 |
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| Seminar: | Financial Mathematics Seminar |
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| Speaker: | Song Yao, University of Pittsburgh |
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| Abstract: |
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| 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
| Room Number: | MB106 |
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| Date: | 10 / 30 / 2012 |
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| Time: | 01:20pm - 02:20pm |
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