Viscosity solution to path-dependent PDE and its applications

7. February 2018
Rudower Chaussee 25, Room 1.115, 5 p.m.
Zhenjie Ren (Université Paris Dauphine)

In this talk, we shall have an overview of the recent development of the theory on the viscosity solution to path-dependent PDE. We will briefly see the idea behind the definition of such solution, and review the main results on the comparison and the stability. At the end of the
talk, we shall use such viscosity solution as tool to analyse a stochastic optimal control problem with information delay.


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