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CCF Seminar
Beatrice Acciaio London School of Economics Title: Generalized McKean-Vlasov stochastic control problems Abstract: I will consider McKean-Vlasov stochastic control problems where the cost functions and the state dynamics depend upon the joint distribution of the controlled state and the control process. First, I will provide a suitable version of the Pontryagin stochastic maximum principle, showing that, in the present general framework, pointwise minimization of the Hamiltonian with respect to the control is not a necessary optimality condition. Then I will take a different perspective, and present a variational approach to study a weak formulation of such control problems, thereby establishing a new connection between those and optimal transport problems on path space.(Based on joint work with Julio Backhoff-Veraguas and Rene Carmona.) Date: Monday, April 2, 2018 Time: 4:30 pm Location: Wean Hall 8220 Submitted by: Johannes Muhle-Karbe |