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DTSTART:20240331T030000
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DTSTAMP:20241106T202130Z
UID:1713793500@ist.ac.at
DTSTART:20240422T154500
DTEND:20240422T164500
DESCRIPTION:Speaker: Xin Zhang\nhosted by M. Beiglböck\, N. Berestycki\, L
. Erdös\, J. Maas\, F. Toninelli\, E. Schertzer\nAbstract: The theory of
stochastic control offers a framework for understanding\, analyzing\, and
designing random systems with the goal of achieving desired outcomes. It f
inds wide-ranging applications in finance\, engineering\, and data science
. Stochastic control problems are known to be related to nonlinear parabol
ic partial differential equations (PDEs)\, which are powerful tools in pro
blem solving. In this talk\, we will review the viscosity theory of finit
e dimensional nonlinear parabolic PDEs and discuss their applications in a
dversarial prediction problems. Subsequently\, we will introduce the mean
field control problem\, which models the decision-making in large populati
ons of interacting agents. This corresponds to a class of nonlinear parabo
lic PDEs on Wasserstein space. As a main result\, we will present a compar
ison principle for such equations and characterize the value function of a
filtering problem as the unique viscosity solution. Based on the joint
work with Erhan Bayraktar and Ibrahim Ekren.
LOCATION:Mondi 2 (I01.01.008)\, Central Building\, ISTA
ORGANIZER:birgit.oosthuizen-noczil@ist.ac.at
SUMMARY:Xin Zhang: PDE in Control — Applications in Finance and Learning
URL:https://talks-calendar.ista.ac.at/events/4932
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