Probability Seminar

SPEAKER: Prof. Jie Xiong, UT

TITLE: Maximum principles for forward-backward stochastic control systems

ABSTRACT: In this talk, we study a partial information optimal control problem for forward-backward stochastic systems. Utilizing a direct method, an approximation method and a Malliavin derivative method, we establish three versions of stochastic maximum principle for the optimal control. Some applications will be presented. This talk is based on joint research with Huang and Wang (SICON 2009), Wang and Wu (SICON 2013), Wang and Wu (in preparation).

Monday, 10 March, 2014


Phone: 974-2463

Ayres Hall

Room 124
See all events at this location

Contribute to big ideas. Give to UT.

The University of Tennessee, Knoxville. Big Orange. Big Ideas.

The University of Tennessee, Knoxville. Knoxville, Tennessee 37996 | 865-974-1000

The flagship campus of the University of Tennessee System and partner in the Tennessee Transfer Pathway.