Seminar in applied mathematics and statistics

SPEAKER: Harry Zheng (Imperial College)

TITLE: Dual representation of value function and applications

ABSTRACT: In this talk we discuss a utility maximisation problem in the Black-Scholes world with general utility functions. We show there is a classical solution to the HJB equation with the dual control method and give the representations of the optimal value function and the optimal control in terms of those of the dual problem. We then apply the results to solve a number of problems in finance, including wealth maximisation, turnpike problem, and efficient frontier of utility and CVaR.

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Tea and chocolate will be served on the 4th floor after the seminar.

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UPCOMING SEMINARS:

November 18, 15:15: Catherine Donnelly (Heriot-Watt University)

December 2, 15:15: Harry Zheng (Imperial College)

December 9, 11:15: Lina von Sydow (Univ. Uppsala)

December 9, 15.15: Anand Vidyashankar (George Mason University)