Seminar series
Date
Mon, 06 Jun 2016
Time
15:45 -
16:45
Location
C6
Speaker
YING HU
Organisation
Universite Rennes 1
Singular stochastic control problems ae largely studied in literature.The standard approach is to study the associated Hamilton-Jacobi-Bellman equation (with gradient constraint). In this work, we use a different approach (BSDE:Backward stochastic differntial equation approach) to show that the optimal value is a solution to BSDE.
The advantage of our approach is that we can study this kind of singular stochastic control with path-dependent coefficients