Transcript Michele Emmer

Venerdì 16 dicembre 2016 ore 11:00
Aula Seminari “-1” – Dipartimento di Matematica
Fulvia Confortola
(Politecnico di Milano)
BSDES AND POINT PROCESSES
ABSTRACT:
We formulate and solve a class of BSDEs driven by the compensated
random measure associated to a given marked point process on a general
state space. We present basic well-posedness results, then we address
applications to optimal control of marked point processes, where the solution
of the BSDE allows to identify the value function and the optimal control.
The talk is based on joint works with Marco Fuhrman and Jean Jacod.
Referente: Stefano Bonaccorsi
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