Optimal Stopping of Branching Diffusion Processes

Orateur: Antonio Ocello
Localisation: ,
Type: Séminaire de probabilités et statistiques
Site: UGE , 4B 125
Date de début: 16/11/2023 - 10:30
Date de fin: 16/11/2023 - 11:30

In this talk, we will explore an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using a dynamic  programming approach, We characterize the value function for a multiplicative cost that depends on the particle’s label. We reduce the problem’s dimensionality by setting a branching property and defining the problem in a finite-dimensional context. Within this framework, we focus on the value function, establishing polynomial growth and local Lipschitz properties, together with an innovative dynamic programming principle. This outcome leads to an analytical characterization with the help of a nonlinear elliptic PDE. We conclude by showing that the value function serves as the unique viscosity solution for this PDE, generalizing the comparison principle to this setting.