Tuesday, August 28, 2018 - 13:00 in V3-201
A fractional in time Hamilton Jacobi Bellman equation and related dynamics
A talk in the Bielefeld Stochastic Afternoon series by
Maria Veretennikova
| Abstract: |
We will discuss certain controlled continuous time random walks and
their extensions, which naturally give rise to a fractional in time
Hamilton Jacobi Bellman equation (fHJB). We will also look at
wellposedness and see the fHJB in the light of an optimization problem
itself.
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