Campuses:

Isaacs equation

Monday, May 7, 2018 - 2:00pm - 2:50pm
Shuenn-jyi Sheu (National Central University)
A review is given to the recent developments of the studies for the continuous time Merton portfolio optimization problems. They include risk-sensitive portfolio optimization problems, upside chance and downside risk probabilities optimization and optimal consumption problems. The developments follow by the ideas of Fleming(1995) given in IMA Vol, which suggests to reformulate the risk-sensitive optimization problem as a risk-sensitive stochastic control problem.
Thursday, May 10, 2018 - 11:00am - 11:50am
Nicolai Krylov (University of Minnesota, Twin Cities)
We show that the value function in a stochastic differential game does not change if we keep the same space $(\Omega,\cF)$ but introduce probability measures by means of Girsanov's transformation {\em depending\/} on the policies of the players. We also show that the value function does not change if we allow the driving Wiener processes to depend on the policies of the players. Finally, we show that the value function does not change if we perform a random time change with the rate depending on the policies of the players.
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