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/