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Stochastic maximum principle for near-optimality and its application to Forward-Backward Stochastic Systems with Jumps
Dr. Petr Veverka (Politecnico di Milano)
Sala conferenze IMATI-CNR - Giovedì 14 Maggio 2015 h.15:00
Abstract. In the talk, Zhou's near-optimal stochastic maximum
principle will be recalled and used for deriving the necessary and
sufficient conditions for near-optimality of controlled nonlinear
stochastic systems governed by Forward-Backward Stochastic
Differential Equation with jumps. The result is a joint work of P.V.,
M. Hafayed and S. Abbas.
Dipartimento di Matematica ''F. Casorati''
Università degli Studi di Pavia -
Via Ferrata, 5 - 27100 Pavia
Tel +39.0382.985600 - Fax +39.0382.985602