Neyman Seminar - Optimal Stopping with Memory and Random Coefficients: Recent Results and Open Problems

Neyman Seminar - Optimal Stopping with Memory and Random Coefficients: Recent Results and Open Problems

Neyman Seminar
May 1, 2013, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Mou-Hsiung (Harry) Chang, Mathematical Sciences Division, U.S. Army Research Office.
We will discuss recent results on optimal stopping problems in which the state processes are governed by stochastic functional differential equations as well as stochastic differential equations with random coefficients. In particular, the existence and uniqueness for the viscosity solution of the Hamilton-Jacobi Bellman variational inequality (HJBVI) in a Banach space and the adapted...