Optimal control and dynamic programming

schedule le lundi 18 février 2019 de 17h00 à 18h00

Organisé par : G. Conchon--Kerjan, F. Coppini, B. Dembin

Intervenant : Enzo Miller (LPSM)
Lieu : Sophie Germain, Salle 1016

Sujet : Optimal control and dynamic programming

Résumé :

In this talk we introduce the field of stochastic optimal control. Our point our view will be centered around the dynamic programming principle. In a first part we present the dynamic programming principle and the Hamilton Jacobi Bellman equations that can be derived from it; we later present a quite general martingale principle. Finally, different methods to exhibit explicit solutions (value function and optimal control) will be presented in various settings: Markovian, McKean-Vlasov, Path-dependent and fractional. Most (but let’s be honest, all) of the arguments are presented at the heuristic level.