Alex Cox - Controlled measure-valued martingales: a viscosity solution approach
| Dates: | 28 April 2021 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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| Speaker: | Alex Cox |
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Alex Cox (University of Bath) will speak in the Probability seminar.
We introduce a stochastic control problem for measure-valued martingales, which are stochastic processes taking values in the space of probability measures and satisfying a martingale-like property. Such control problems arise naturally in a variety of applications, such as the Skorokhod Embedding problem, and informational games with asymmetric information.
Our main results concern characterisation of the value of the problem in terms of the viscosity solution to a corresponding PDE.
Joint work with Sigrid Källblad, Martin Larsson and Sara Svaluto-Ferro.
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