Stochastic differential game with non-smooth rewards and its implication on PDE
Speaker: Kihun Nam
Affiliation: Monash University
Abstract
In this talk, we discuss the existence (and uniqueness) of Nash equilibrium in stochastic differential games using a probabilistic approach. We will formulate the problem into a forward-backward stochastic differential equation (FBSDE), then transform it into a backward stochastic differential equation (BSDE) using measure change. We obtain a strong solution instead of a weak solution. Finally, we will discuss the equivalence of solutions for FBSDE, BSDE, and PDE. Such equivalence will propose a new notion of weak solutions for parabolic PDEs and can generalise some previous results in PDE.
About Statistics, modelling and operations research seminars
Students, staff and visitors to UQ are welcome to attend our regular seminars.
The events are jointly run by our Operations research and Statistics and probability research groups.
The Statistics, modelling and operations research (SMOR) Seminar series seeks to celebrate and disseminate research and developments across the broad spectrum of quantitative sciences. The SMOR series provides a platform for communication of both theoretical and practical developments, as well as interdisciplinary topics relating to applied mathematics and statistics.
