Title: Applications of dual control method in solving constrained problems in incomplete market

Speaker: Harry Zheng教授帝国理工大学

Date: Mar 27, 2019,Wednesday6:30pm-9:00pm

Venue:览秀楼105

Abstract: In this talk we extend the dual control method for solving utility maximization problem with control constraints in the Black-Scholes market and to problems in incomplete markets, including Heston stochastic volatility model, and show that the dual control method is a useful technique to estimate lower and upper bounds for the value function. We will also show how to use the dual control method to solve a basic-luxury consumption model (time permits).