Français
Gambling for resurrection and the heat equation on a triangle
Multi angle
Authors : Blanchet-Scalliet, Christophette (Author of the conference)
CIRM (Publisher )
35C10 - Series solutions, expansion theorems
49L20 - Dynamic programming method
60G44 - Martingales with continuous parameter
Additional resources :
https://www.cirm-math.fr/RepOrga/2390/Slides/Christophette-BLANCHET-SCALLIET.pdf
CIRM (Publisher )
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Abstract :
We consider the problem of controlling the diffusion coefficient of a diffusion with constant negative drift rate such that the probability of hitting a given lower barrier up to some finite time horizon is minimized. We assume that the diffusion rate can be chosen in a progressively measurable way with values in the interval [0,1]. We prove that the value function is regular, concave in the space variable, and that it solves the associated HJB equation. To do so, we show that the heat equation on a right triangle, with a boundary condition that is discontinuous in the corner, possesses a smooth solution.
Work in Collaboration with Stefan Ankirchner, Nabil Kazi-Tani, Chao Zhou.
Keywords : hitting probability; stochastic control; heat equation
MSC Codes : Work in Collaboration with Stefan Ankirchner, Nabil Kazi-Tani, Chao Zhou.
Keywords : hitting probability; stochastic control; heat equation
35C10 - Series solutions, expansion theorems
49L20 - Dynamic programming method
60G44 - Martingales with continuous parameter
Additional resources :
https://www.cirm-math.fr/RepOrga/2390/Slides/Christophette-BLANCHET-SCALLIET.pdf
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Information on the Video
Film maker : Recanzone, LucaLanguage : French Available date : 27/09/2023 Conference Date : 04/09/2023 Subseries : Research talks arXiv category : Probability Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:35:31 Targeted Audience : Researchers ; Graduate Students ; Doctoral Students, Post-Doctoral Students Download : https://videos.cirm-math.fr/2023-09-04_Blanchet_Scalliet.mp4 
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Information on the Event
Event Title : A Random Walk in the Land of Stochastic Analysis and Numerical Probability / Une marche aléatoire dans l'analyse stochastique et les probabilités numériquesEvent Organizers : Champagnat, Nicolas ; Pagès, Gilles ; Tanré, Etienne ; Tomašević, Milica Dates : 04/09/2023 - 08/09/2023 Event Year : 2023 Event URL : https://conferences.cirm-math.fr/2390.html
Citation Data
DOI : 10.24350/CIRM.V.20087603Cite this video as: Blanchet-Scalliet, Christophette (2023). Gambling for resurrection and the heat equation on a triangle. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.20087603 URI : http://dx.doi.org/10.24350/CIRM.V.20087603 |
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Bibliography
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