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Evolution Equations for Deterministic and Stochastic Systems

Hamilton-Jacobi-Bellman equations associated to SDEs driven by symmetric stable processes

speaker: Adrian Zalinescu (Research Training Network HPRN-CT-2002-00281)

abstract: We are concerned with an optimal stochastic control and stopping problem in a finite horizon in which the state equation is driven by a symmetric stable process. We prove that the value function is a viscosity solution of the integro-differential variational inequality arising from the associated dynammic programming. We also establish comparision principles, which yield uniqueness results

timetable:
Mon 23 May, 15:20 - 16:00, Aula Dini
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