CRM: Centro De Giorgi

This is the old version of the CRM site. Please use the new site on the page crmdegiorgi.sns.it

logo sns
Advances in Mathematical Finance and Optimal Transport

Controlled measure valued martingales: a viscosity solution approach

speaker: Sigrid Källblad (KTH Royal Institute of Technology Stockholm)

abstract: We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the ‘classical’ results of stochastic control for these problems: specifically, we show that the value function for the problem can be characterised as the unique solution to a Hamilton-Jacobi-Bellman equation in the sense of viscosity solutions. In order to obtain this, we exploit structural properties of the MVM processes; in particular, our results include existence of controlled MVMs and an appropriate version of Itô’s formula for such processes. We also illustrate how problems of this type arise in a number of applications including model-independent derivatives pricing. The talk is based on joint work with Alex Cox, Martin Larsson and Sara Svaluto-Ferro.


timetable:
Thu 30 Jun, 9:15 - 10:00, Aula Dini
<< Go back