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Fausto Gozzi: Partial Differential Equations in Infinite Dimension: Economic and Financial models

Time: Mon 2019-04-08 15.15 - 16.15

Location: Room F11, Lindstedtsv. 22, KTH

Lecturer: Fausto Gozzi


“PDEs in Infinite Dimension” seems, already from the name, a very abstract and difficult subject. We aim to show how it can be very useful in treating, in particular, economic and financial models. We start by presenting few motivating problems in Economics and Finance (e.g. Growth and Pricing/Hedging) which can be naturally attacked using, as main mathematical tools, infinite dimensional PDEs.

We then point out the state of the art on these kind of problems and present some recent results on them, in particular on the HJB equations arising in stochastic optimal control and (work in progress) in differential games. Finally we will discuss the applicability of such results to the motivating problems and give some ideas on possible future developments.