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) ------------------------------------------------------------------- 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. -------------------------------------------------------------------- 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/