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CCF Seminar
Jessie Li
UT-Austin
Title: On approximation and existence in the monotone-follower problem

Abstract: We revisit the classical monotone-follower problem under minimal assumptions. By the stochastic maximum principle of Pontryagin we establish the corresponding forward-backward stochastic equation and prove the uniqueness by strict convexity. Then we cap the path derivatives of the admissible strategies, and use Meyer-Zheng weak-convergence sending the cap to infinity to obtain the existence result of optimality. This approach produces general approximation results and further elucidates the celebrated connection between the optimal stochastic control and stopping.

Date: Monday, January 27, 2014
Time: 5:30 pm
Location: Wean 5310
Submitted by:  Kasper Larsen
Note: PLEASE NOTE CHANGE OF ROOM AND START TIME OF 5:30.