Statistics Seminar: STA 290
Thursday, May 2nd, 2013 at 4:10pm, MSB 1147 (Colloquium Room)
Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)
Speaker: Mou-Hsiung (Harry) Chang, Mathematical Sciences Division, U. S. Army Research Office
Title: Optimal Stopping with Memory: Recent Results and Open Problems
Abstract: We will discuss recent results on optimal stopping problems in which the state processes are governed by stochastic functional differential equations as well as stochastic differential equations with random coefficients. In particular, the existence and uniqueness for the viscosity solution of the Hamilton‐Jacobi Bellman variational inequality (HJBVI) in a Banach space and the adapted solution for the backward stochastic partial differential variational inequality (BSPDVI) will be examined. In addition, some challenging open problems will be discussed in this talk.