| Description: | [DMS Seminar] Dr Imran H Biswas (TIFR CAM, Bangalore) -- Stochastic Differential Games with Jump-diffusion Driven State: Analysis and Approximations |
| Date: | Thursday, Dec 21, 2017 |
| Time: | 2 p.m. - 3 p.m. |
| Venue: | G09, Lecture Hall Complex |
| Details: | This talk is based on a program we had started a few years ago on stochastic differential games where the state dynamics follow controlled jump-diffusions. In the first part, we will focus on the analytical study of the game problem primarily based on a combination of dynamic programming and viscosity solution techniques. We establish that the value of the game exists and it is the solution of a nonlocal Isaacs type equation. The second part is based on our recent work on approximations of the value function. These approximations are based on the discretisation of the underlying dynamic programming equation. We provide a robust error analysis for such approximations and derive a series of new a priori error estimates. |
| Calendar: | Seminar Calendar (entered by saugata.bandyopadhyay) |