Seminar series
Date
Thu, 28 Feb 2013
Time
13:00 -
14:00
Location
DH 1st floor SR
Speaker
Gechun Liang
Organisation
Mathematics (Oxford)
In this talk, We show that both reflected BSDE and its associated penalized BSDE admit both optimal stopping representation and optimal control
representation. We also show that both multidimensional reflected BSDE and its associated multidimensional penalized BSDE admit optimal switching representation. The corresponding optimal stopping problems for penalized BSDE have the feature that one is only allowed to stop at Poisson arrival times.