主题：Duality and deep learning for optimal consumption with randomly terminating income

主讲人：帝国理工学院 Harry Zheng教授

主持人：555000jc赌船 马敬堂教授

时间：2024年4月1日（周一）14:00-15:00

地点：柳林校区通博楼B412会议室

主办单位：555000jc赌船 

内容提要：

We establish a rigorous duality theory for a problem of optimal consumption in the presence of an income stream that can terminate randomly at an exponentially distributed time, independent of the asset prices. We thus close a duality gap encountered by Davis and Vellekoop (2009) in a version of this problem in a Black-Scholes market. We then solve the problem numerically, using the primal and dual controls, second order BSDEs, and deep learning, to find the optimal control and tight lower and upper bounds for the value function. (Joint work with Ashley Davey and Michael Monoyios)