Parabolic systems and stochastic controls: nonlocality, nonlinearity, and time-inconsistency

• Main Author: Lei, Qian
• Other Authors: Patrick Pun Chi Seng
• Format: Thesis-Doctor of Philosophy
• Language: English
• Published: Nanyang Technological University 2022
• Subjects: Science::Mathematics::Probability theory; Science::Mathematics::Applied mathematics::Game theory; Science::Mathematics::Applied mathematics::Optimization; Science::Mathematics::Calculus; Business::Finance::Mathematical finance
• Online Access: https://hdl.handle.net/10356/161078
• Institution: Nanyang Technological University

This thesis aims to advance the theories of partial differential equation (PDE) and stochastic differential equation (SDE), and by which, we address decade-long open problems in the field of stochastic controls. We develop systematically a theory of nonlocal parabolic systems in aspects of existence...