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Financial/Actuarial Mathematics Seminar

Sanov-Type Limit Theorems on Wiener Space: Schrodinger Problems, BSDEs, and Control
Wednesday, September 12, 2018
4:00-5:00 PM
1360 East Hall Map
We derive new limit theorems and variational principles in the Wiener space, which can be seen as non-entropic analogues to certain Laplace principles. As a first application of these results, we unify and extend the approaches by Mikami (stochastic control) and Leonard (large deviations), concerning the small-noise limit of the celebrated Schrodinger problem. As a second application, we obtain novel scaled-limits of backward stochastic differential equations and their related partial differential equations. This suggests a novel scheme for the computation of mean field control problems.

This is joint work with D. Lacker and L. Tangpi. Speaker(s): Julio Backhoff (TU Wien)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics