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赵绪哲博士学术报告
      发布单位: 数学系    [2015-10-8 0:00:00]

赵绪哲博士学术报告

 

时间:2015年10月12日下午2:00-3:00

 

地点:老校部5楼

 

赵绪哲,西安电子科技大学数学与统计学院师资博士后,毕业于法国勒芒大学,师从Said Hamadène,研究方向是随机控制。

 

题目Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process

 

Abstract :we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear m variational integralpartial differential equations with interconnected obstacles whose coefficients (f_i)i=1,...,m depend on (u_j)j=1,...,m. From the probabilistic point of view, this system is related to optimal stochastic switching problem when the noise is driven by a Lévy process. The switching costs depend on (t, x). As a by-product of the main result we obtain that the value function of the switching problem is continuous and unique solution of its associated Hamilton–Jacobi–Bellman system of equations. The main tool we used is the notion of systems of reflected BSDEs with oblique reflection driven by a Lévy process.