Kristina Rognlien Dahl: Stochastic analysis meets risk and reliability theory
Kristina Rognlien Dahl (University of Oslo) is giving her inaugural lecture with the title: Stochastic analysis meets risk and reliability theory.
In the first part, we introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of singular BSDE. Furthermore, we analyze the problem of maximizing the singular recursive utility. We derive sufficient and necessary maximum principles for this problem.
For the second part of the talk, we would like to combine techniques from stochastic analysis with problems in risk- and reliability theory. We present some ideas for new research topics on the borderline of these two fields: Sequential decision problems connected to energy systems, network models, project management/control and risk measures.