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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


Contact:

Phone: 974-2463

Ayres Hall

Room 124
TN
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