Probability Seminar: John Moriarty - Harmonic envelope representations for multidimensional optimal stopping
| Dates: | 4 March 2026 |
|---|
| Times: | 15:00 - 16:00 |
|---|
| What is it: | Seminar |
|---|
| Organiser: | Department of Mathematics |
|---|
|
|
John Moriarty (Queen Mary University of London) will speak at the Probability seminar.
Title: Harmonic envelope representations for multidimensional optimal stopping
Abstract: We develop a constructive representation for the optimal stopping of multidimensional Brownian motion killed on exiting the unit ball. The value function is characterised as the pointwise infimum of certain harmonic majorants of the gain, providing a multidimensional analogue of the classical envelope representation of Dynkin and Yushkevich. Due to polar sets in higher dimensions, a new class of branching piecewise potentials is needed to realise the value function and optimal stopping rule. In this framework, branching is iterated harmonic extension without requiring the matching of derivatives. This is work in progress, based on https://arxiv.org/abs/2505.09725 arxiv.org .
Travel and Contact Information
Find event
Frank Adams 2
Alan Turing Building
Manchester
