[Amath-seminars] Boeing Lecture Nov 20: Erhan Bayraktar
joelzy at uw.edu
Tue Nov 11 15:15:46 PST 2014
We'll have our 3rd and final Boeing lecture for the quarter next Thursday,
Nov. 20 (details below). Interested faculty / staff should please sign up on
this google docs page
meet with the speaker.
*Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations*
*Erhan Bayraktar, University of Michigan*
Thursday, November 20th, 4pm.
Smith Hall room 205
*Abstract:* We show that the value function of a stochastic control problem
is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB)
equation, completely avoiding the proof of the so-called dynamic
programming principle (DPP). Using Stochastic Perron’s method we construct
a super-solution lying below the value function and a sub-solution
dominating it. A comparison argument easily closes the proof. The program
has the precise meaning of verification for viscosity-solutions, obtaining
the DPP as a conclusion. We will also discuss the effectiveness of this
method in analyzing the robust feedback-type optimal control problems.
Acting Assistant Professor
Department of Applied Mathematics
University of Washington
~ The neuroscience is theoretical, but the fun is real
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