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Probability Seminar


SPEAKER: Prof. Guangchen Wang, School of Control Science and Engineering, Shandong University

TITLE: A Linear-Quadratic Optimal Control Problem of Forward-Backward

ABSTRACT: In this talk, we will discuss a linear-quadratic optimal control problem derived by forward-backward stochastic differential equations, where drift coefficient of observation equation is linear with respect to state, and observation noise is correlated with state noise. A backward separation approach is introduced. Combining it with variational method and stochastic filtering, two optimality conditions and a feedback representation of optimal control are derived. Closed-form optimal solutions are obtained in some particular cases. As an application of the optimality conditions, a generalized recursive utility problem from financial markets is solved explicitly. This talk is based on a joint work with Prof. Zhen WU (Shandong University, China) and Prof.Jie XIONG (University of Tennessee, USA)

Monday, 24 March, 2014


Contact:

Betty Morgan

Phone: 974-2463

Ayres Hall

Room 124
1403 Circle Drive
Knoxville, TN 37996

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