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VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20210423T092308Z
DTSTART:20210428T140000Z
DTEND:20210428T150000Z
SUMMARY:Alex Cox - Controlled measure-valued martingales: a viscosity so
lution approach
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}b9-knu3vwwz
-bvnlgl
DESCRIPTION:Alex Cox (University of Bath) will speak in the Probability s
eminar. \n\nWe 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 asymmetr
ic information.\nOur main results concern characterisation of the value
of the problem in terms of the viscosity solution to a corresponding PDE
.\nJoint work with Sigrid Källblad\, Martin Larsson and Sara Svaluto-Fer
ro.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:https://zoom.us/j/99866632403
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