Timetable
Tuesday / Thursday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 22.04.2008 Christian Bayer
"Harmonic analysis of stochastic equations and backward
stochastic differential equations"
Th, 24.04.2008 Mladen Savov (University of Manchester), Start-Seminar,
"Small Time Behaviour of Lévy Processes: Laws of the
Iterated Logarithm"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 17.04.2008, Anders Szepessy (Stockholm University),
"Langevin molecular dynamics derived from Ehrenfest
dynamics"
(Start-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As this Thursday there is no START-seminar, we are pleased to announce
the talk of Tomas Björk within the lecture series of the VGSF this
friday (April 4th): http://www.vgsf.ac.at/activities/seminars.htm
Best regards, Sandra Trenovatz (FAM-office)
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Fr, 2008-04-04, 16:00-17:00
Vienna Institute of Finance (WU-H46),
1190, Heiligenstädter Strasse 46-48,
seminar room 1 (ground floor)
Tomas Björk
(Stockholm School of Economics)
"Time Inconsistent Stochastic Control"
Abstract:
In this talk we will present some recent work on non-classical
stochastic control problems which are "time inconsistent" in the sense
that they cannot be treated by dynamic programming. We present a
game-theoretic approach to such problems and we derive an extended
version of the Hamilton-Jacobi-Bellman equation in terms of a system of
PDEs for the determination of the associated subgame perfect Nash
equilibrium strategy. We also present applications from finance.
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A week later (April 11th) in the same lecture series there will be a
talk of Antoon Pelsser (University of Amsterdam).
For future talks of FAM please have a look at:
http://www.fam.tuwien.ac.at/events/