Stochastic control for a class of nonlinear kernels and applications

Chao Zhou (National University of Singapore)
Thursday, June 9, 2016 - 5:00pm
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 043

A stochastic control problem for a class of nonlinear stochastic kernels is studied. We prove a dynamic programming principle (DPP) for the value function by a measurable selection argument and consider several applications of the DPP including the wellposedness of second order BSDEs.
This is a joint work with Dylan POSSAMAI and Xiaolu TAN.