[Todos CMAT] Seminario de Probabilidad y Estadística

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Mie Oct 13 09:00:28 -03 2021

Seminario de Probabilidad y Estadística

Título: "Solving non-Markovian stochastic control problems driven by Wiener functionals."

Expositor: Alberto Ohashi (Universidade de Brasília, Brasil)

In this talk, we present a numerical scheme for computing near-optimal controls
associated with controlled Wiener functionals via a finite-dimensional
approximation procedure. Explicit rates of convergence are provided under rather
weak conditions for distinct types of non-Markovian and non-semimartingale
states.The theory is applied to stochastic control problems based on path-
dependent SDEs and rough stochastic volatility models, where both drift and
possibly degenerated diffusion components are controlled. Optimal control of
drifts for nonlinear path-dependent SDEs driven by fractional Brownian motion
with exponent H \in (0, 1) is also discussed. If time permits, we also discuss,
in the simplest case of optimal stopping, the Monte Carlo scheme and overall
error estimates in terms of concrete approximation spaces with finite Vapnik-
Chervonenkis dimension
Viernes 15/10 a las 10:30, zoom

Contacto: Alejandro Cholaquidis - acholaquidis en hotmail.com
Canal de youtube:




Link de zoom para la charla


ID de reunión: 894 6604 5708 Código de acceso:    proba ble-1

Cronograma 2021:

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