PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

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:Probability and Financial Mathematics Seminar
Speaker:Song Yao, University of Pittsburgh
Abstract:
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
Date:10 / 30 / 2012
Time:01:20pm - 02:20pm