Joint Event: Math Department Colloquium & SASA Seminar

• Jinniao Qiu
• Associate Professor
• University of Alberta, Canada
• Date: March 24, Tuesday, 2026
• Time: 14:00-14:50
• Host: Le Chen
• Room: Parker 246
• Abstract: In this talk, we shall present the recent progress in the study of stochastic Hamilton-Jacobi-Bellman (HJB) equations, which arise naturally in the context of non-Markovian control problems with random coefficients. The non-Markovian nature of these problems may also involve path dependence or mean-field interactions, in addition to general randomness in the coefficients. The discussion will cover various aspects, including the well-posedness of such stochastic HJB equations, numerical approximations, and their applications.

• Qiu, J. (2018). Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations. SIAM J. Control Optim., 56(5), 3708--3730.
• DOI: 10.1137/17M1148232

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