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CCF Seminar
Francois Delarue
Universite Nice Sophia-Antipolis
Title: Fully coupled Forward-Backward SDEs. A Short Review.

Abstract: I will discuss fully coupled forward-backward stochastic differential equations, which arise in stochastic optimal control for describing the optimal dynamics of a stochastic control problem. I will discuss the question of existence and uniqueness of a solution, mentioning first the underlying difficulties in comparison with decoupled SDEs and backward SDEs and then reviewing some of the existing strategies that have been developed so far to tackle the well-posedness.

Date: Monday, April 29, 2013
Time: 11:30 am
Location: Wean Hall 7218
Submitted by:  Steve Shreve