Çankaya University Mathematics Department Seminars

Optimal control of stochastic dynamics under regime switches, paradigm shifts and with delay - applications in finance, economics and science
Gerhard Wilhelm Weber
ODTÜ, Turkey
Özet : Abstract In this presentation, we contribute to modern OR by hybrid, e.g., mixed continuous-discrete dynamics of stochastic differential equations with jumps and to its optimal control. These hybrid systems allow the representation of random regime switches or paradigm shifts, and are of growing importance in economics, finance, science and engineering. We introduce some new approaches to this area of stochastic optimal control: one is based on the finding of optimality conditions and closed-form solutions. We further discuss aspects of differences in information, given by delay or insider information. The presentation ends with a conclusion and an outlook to future studies.
  Tarih : 20.11.2015
  Saat : 14:30
  Yer : Çankaya Üniversitesi R-213
  Dil : English
  Ek Dosya : Özet
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