【今天20:30】International Seminar on SDEs and Related Topics

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报告摘要

This talk is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow variable, with noise emerging from the fast one. It proves that it is possible to control the slow variable by acting only on the fast scales. The concrete problem, of interest for climate research, is embedded into an abstract framework in Hilbert spaces, with a stochastic process driven by an approximation of a given noise. The principle presented here is that convergence of the uncontrolled problem is sufficient for convergence of both the optimal costs and the optimal controls. This target is reached using Girsanov transform and the representation of the optimal cost and the optimal controls using a Forward Backward System.

This is joint work with F. Flandoli - Scuola Normale Superiore, G. Guatteri - Politecnico di Milano and U. Pappalettera - Universitat Bielefeld.

报告嘉宾

Gianmario Tessitore is full professor in Probability and    Mathematical Statistics at the University of Milano-Bicocca.In 1992 he received his PhD  under the supervision of Da Prato and Zabczyk. After holding a researcher position at the University of Florence, he worked as an associate professor at the University of Genoa from 1998 until 2002, followed by a full professorship at the University of Parma from 2002 until 2005. In 2005 he moved to his current position at the  University of Milano-Bicocca.

The research interests of Gianmario Tessitore comprise Stochastic Optimal Control, Stochastic Partial Differential Equations, Stochastic Evolution Equations and  HJB equations in infinite dimensions, and related Backward Stochastic Differential Equations.

Now already for many years he has been acting as an editorial board member of several international journals in Mathematics.