[FAM-news] this week's vgsf seminar

Sandra Trenovatz sandra at fam.tuwien.ac.at
Wed Apr 2 15:45:44 CEST 2008

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"

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:

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