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Probability and Computational Finance 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, 2014Time: 5:30 pmLocation: Wean Hall 5310Submitted by: Kasper LarsenNote: PLEASE NOTE CHANGE OF ROOM AND START TIME OF 5:30. |