SMS scnews item created by Anna Aksamit at Fri 22 Nov 2019 1301
Type: Seminar
Modified: Fri 13 Dec 2019 1638
Distribution: World
Expiry: 6 Dec 2019
Calendar1: 26 Nov 2019 1400-1500
CalLoc1: AGR Carslaw 829
CalTitle1: Stochastics and Finance Seminar: Chunxi Jiao -- Computable primal and dual bounds for some stochastic control problems
Auth: aksamit@paksamit.pc (assumed)

# Stochastics and Finance Seminar: Chunxi Jiao -- Computable primal and dual bounds for some stochastic control problems

Speaker: Chunxi Jiao (University of Sydney)

Title: Computable primal and dual bounds for some stochastic control problems

We investigate the linear programming framework for stochastic control with a view
towards the numerical implementation (Lasserre’s hierarchy) for obtaining pointwise
bounds and global bounding functions for the value function. The primal minimisation
corresponds to the well-studied moment problem based upon a set of necessary equality
constraints on the occupation and boundary measures, whereas the dual maximisation is
built on a set of sufficient inequality constraints on the test polynomial function
with a flexible choice of optimality criteria. Under suitable technical conditions,
optimised bounds are convergent to the value function as the polynomial degree tends to
infinity. The dual maximisation is particularly effective as its single implementation
yields a remarkably tight global bound in the form of polynomial function over the whole
problem domain, and with a suitable objective function, one may improve the global bound
on regions of interest.

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html


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