The PhD defence will be in room 1259, Abels Utsikt - Niels Henrik Abels hus. The host of the session will moderate the technicalities while the chair of the defence will moderate the disputation.
Ex auditorio questions: the chair of the defence will invite the audience to ask questions ex auditorio at the end of the defence.
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Submit request to access (available from 15th of September 1:15 pm until 29th of September 1:15 pm)
Trial lecture
29th of September, time: 10:15 am, room 1259.
In this thesis we study stochastic optimal control problems for Volterra type dynamics. To this end, we consider two different approaches: maximum principle and dynamic programming. We use the maximum principle when working with time-changed Lévy noise drivers and obtain a sufficient and necessary optimal condition. We also discuss the two players game setting. We present the dynamic programming approach in the case of a simplified continuous Volterra forward equation, where the dependence from the past is obtained through a convolution kernel. In this case we also provide a numerical approach for the linear-quadratic case.
Adjudication committee
- Professor Boualem Djehiche, KTH Stockholm
- Associate Professor Federica Masiero, University of Milano Bicocca
- Professor Tom Lindstrøm, University of Oslo
Supervisors
- Professor Giulia Di Nunno, University of Oslo
- Professor Fred Espen Benth, University of Oslo
Chair of defence
Deputy Head of Department Nadia S. Larsen
Host of the session
Professor Tom Lindstrøm, University of Oslo