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...