Atılım University General Seminars

Optimal Control of Stochastic Systems with Regime Switches, Jumps and Delay in Finance, Economics and Nature
Gerhard Wilhelm Weber
METU, Turkey
Özet : 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 for 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 : 23.03.2016
  Saat : 15:45
  Yer : Atılım Üniversitesi Matematik Bölümü
  Dil : English
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