Orateur : Ana Bela Cruzeiro (IST, Universidade de Lisboa)

Résumé

We consider pathwise stochastic optimal control problems and derive the corresponding Hamilton-Jacobi-Bellman stochastic partial differential equations. We show that the value processes are the unique solutions of these equations, in the viscosity sense. The processes are not necessarily adapted.

This is a joint work with N. Bhauryal (Univ. of Lisbon) and C. Oliveira (NTNU, Norway).

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