Speaker: Jinniao Qiu (University of Calgary, Alberta, Canada)

 

 

Title: Some Recent Progress on Stochastic HJB Equations

 

 

Abstract:  In this talk, we shall present the recent progress in the study of stochastic Hamilton-Jacobi-Bellman (HJB) equations, which arise naturally in the context of non-Markovian control problems with random coefficients. The non-Markovian nature of these problems may also involve path dependence or mean-field interactions, in addition to general randomness in the coefficients. The discussion will cover various aspects, including the well-posedness of such stochastic HJB equations, numerical approximations, and their applications.

 

• Qiu, J. (2018). Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations. SIAM J. Control Optim., 56(5), 3708--3730.
• DOI: 10.1137/17M1148232

 

 

Host: Le Chen

 

 

For more details, please visit https://webhome.auburn.edu/~lzc0090/SASA/20260324_Qiu.html.