Singular perturbations of stochastic control problems with unbounded fast variables

Wednesday 19 November 2014 h. 14:30, room 2BC30
Joao Meireles (Padova, Dip. Mat.)
"Singular perturbations of stochastic control problems with unbounded fast variables"

Abstract.
In this talk, we first give a short introduction to singular perturbations problems and to the Hamilton-Jacobi approach to the singular limit $\epsilon \to 0$. And we will end by considering a specific singular perturbation problem of a class of optimal stochastic control problems with unbounded fast variables and discussing some recents results.