Research problems of Jerzy Zabczyk

• Autorzy: Szymon Peszat , Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

In the paper we present a selected variety of problems studied by Professor Jerzy Zabczyk. Important part of Prof. Zabczyk's scientific activity was devoted to his PhD students. He has promoted 9 PhD students: Tomasz Bielecki, Jarosław Sobczyk, Łukasz Stettner and Gianmario Tessitore work mostly in control and its applications to mathematical finance, whereas the research of Anna Chojnowska-Michalik, Wojciech Jachimiak, Anna Milian, Szymon Peszat and Anna Rusinek is concentrated mostly on stochastic evolution equations. Description of research problems of Prof. Jerzy Zabczyk starts from infinite-dimensional (deterministic) control problems, stochastic control problems: optimal choice problems, stopping time problems, to come first to mathematics of finance and then to stochastic analysis: stochastic evolution and partial differential equations. We show main results and point out their importance. The paper is based on the presentation of the authors during a special session at the conference.

Kategorie tematyczne

• 93E20: Optimal stochastic control
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 105
• Numer: 1
• Strony: 9-32

Daty

wydano

2015

Twórcy

autor

Szymon Peszat

• Institute of Mathematics of the Jagiellonian University, St. Łojasiewicza 6, 30-348 Kraków, Poland
• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-656 Warszawa, Poland

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-656 Warszawa, Poland

Identyfikatory

DOI

10.4064/bc105-0-1