Juri Hinz - éminaire commun avec séminaire Bachelier le matin 11h15

High-dimensional stochastic control is of great importance in practice, with applications encompassing economics, operations research, artificial intelligence, statistics, and finance. In these fields, the complexity of real-world control problems is often far beyond what is computationally feasible, with only little improvement over years. However, a recent progress in duality- and path-wise techniques has introduced a variety of fresh ideas to this field, obtaining surprising results even in some traditional areas of stochastic control theory. This talk gives an overview on theory and applications on path-wise approach to high-dimensional stochastic control with financial applications.