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Probability and Computational Finance Seminar
Beatrice Acciaio
London School of Economics
Title: Generalized McKean-Vlasov stochastic control problems

Abstract: I will consider McKean-Vlasov stochastic control problems where the cost functions and the state dynamics depend upon the joint distribution of the controlled state and the control process. First, I will provide a suitable version of the Pontryagin stochastic maximum principle, showing that, in the present general framework, pointwise minimization of the Hamiltonian with respect to the control is not a necessary optimality condition. Then I will take a different perspective, and present a variational approach to study a weak formulation of such control problems, thereby establishing a new connection between those and optimal transport problems on path space.

(Based on joint work with Julio Backhoff-Veraguas and Rene Carmona.)

Date: Monday, April 2, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Johannes Muhle-Karbe