Elenco seminari del ciclo di seminari
“TOPICS IN STOCHASTIC ANALYSIS: SINGULAR CONTROL”
In this course we will introduce the theory of singular stochastic controls in a Markovian framework. This class of dynamic optimization problems find natural applications in Economics, Finance, Operations Research, and Engineering. In particular, we will investigate the intimate relation to optimal stopping theory and free-boundary problems, as well as to reflected diffusion processes. Finally, if time allows, we will consider a class of stationary mean-field games with singular controls.
Marzo
28
2025
Giorgio Ferrari
nel ciclo di seminari: TOPICS IN STOCHASTIC ANALYSIS: SINGULAR CONTROL
Seminario di analisi matematica, interdisciplinare, probabilità
One-dimensional stationary mean-field games with singular controls
Marzo
27
2025
Giorgio Ferrari
nel ciclo di seminari: TOPICS IN STOCHASTIC ANALYSIS: SINGULAR CONTROL
Seminario di analisi matematica, interdisciplinare, probabilità
The optimal policy in terms of the solution to a Skorokhod reflection problem. Challenges in R^n, n>1, and the optimal solution in the one-dimensional case
Marzo
26
2025
Giorgio Ferrari
nel ciclo di seminari: TOPICS IN STOCHASTIC ANALYSIS: SINGULAR CONTROL
Seminario di analisi matematica, interdisciplinare, probabilità
Dynamic Programming Principle Equation and Verification Theorem for Markovian singular
stochastic control problems in R^n.
Marzo
25
2025
Giorgio Ferrari
nel ciclo di seminari: TOPICS IN STOCHASTIC ANALYSIS: SINGULAR CONTROL
Seminario di analisi matematica, interdisciplinare, probabilità
Formalization of a general class of Markovian singular stochastic control problems in R^n.
Marzo
24
2025
Giorgio Ferrari
nel ciclo di seminari: TOPICS IN STOCHASTIC ANALYSIS: SINGULAR CONTROL
Seminario di analisi matematica, interdisciplinare, probabilità
Motivation of singular stochastic controls via an example.