[Turkmath:8867] General Math Seminar at Bilkent: G.-W, Weber, March 27 (Wed)

koray karabina koray_karabina at yahoo.com
24 Mar 2013 Paz 21:43:13 EET


Dear all,

We are hosting Gerhard-Wilhelm Weber from the Institute of Applied
Mathematics, METU as an invited speaker in our General Seminar series in
the Department of Mathematics, Bilkent University.

G.-W Wilhelm will speak on “Some Advances in Modeling, Optimization and
Control of Stochastic Dynamics -- Applications in Finance, Economics,
Biology and Environment” on March 27, Wednesday.

You are cordially invited to G.-W Wilhelm's talk, and please feel free to
announce this in your department.

Please find G.-W Wilhelm's Bio., and the details of his talk in the link:

http://www.fen.bilkent.edu.tr/~cvmath/seminars/2013Spring/27032013.htm

and also below:

Date : March 27, 2013 (Wednesday)
Time : 15.40-16.30
Place: Bilkent University, Mathematics Seminar Room SA141

Bio: G.-W. Weber is a Professor at IAM, METU, Ankara, Turkey. His research
is on OR, financial mathematics, optimization and control, life sciences,
data mining, education and development; he is involved in the organization
of scientific life internationally. He received his Diploma and Doctorate
in mathematics, and economics / business administration, at RWTH Aachen,
and his Habilitation at TU Darmstadt. He held Professorships by proxy at
University of Cologne, and TU Chemnitz, Germany. At IAM, he is in the
programs of Financial Mathematics, Actuarial Sciences and Scientific
Computing and Assistant to the Director, and he is a member of four
further graduate schools, institutes and departments of METU. Further, he
has affiliations at the universities of Siegen, Ballarat, Aveiro, North
Sumatra, and Malaysia University of Technology, and he is “Advisor to EURO
Conferences”. He has numerous publications.

Title: Some Advances in Modeling, Optimization and Control of Stochastic
Dynamics -- Applications in Finance, Economics, Biology and Environment.

Abstract: This presentation introduces into some recent research
achievements in continuous-time models of the financial sector and related
fields, supported by mathematics. Stochastic Optimal Control has an
increasingly important role in science, economics and the sectors of
environment and finance, and is extensively used in various applications.
We present applications of Stochastic Hybrid models in biology, ecology,
monetary systems and finance to account for regime switching dynamics.
Stochastic models with a motion part and additionally a jump part are able
to capture abrupt fluctuations that are a usual phenomenon in genetic and
environmental networks and in financial markets. These kinds of models
allow for more realistic investigation of portfolio optimization and
utility maximization in financial markets and in genetic, metabolic and
ecological interaction. The models comprise portfolio optimization with
optimal investment and consumption strategies. Explicit consideration of
risk aversion in an optimal investment and consumption problem allows for
optimality conditions that are related to specific risk types in a market.
A more general model for portfolio and gene-environment optimization is
established afterwards. In another study, we develop a new theory of
estimating Hurst parameter using conic multivariate adaptive regression
splines (CMARS) method. Stochastic Differential Equations (SDEs) generated
by fractional Brownian motion (fBm) with Hurst parameter, H, are widely
used to represent noisy and real-world problems. The reason why fBm is
preferred in modelling, to other Markov processes is its property of
capturing the dependence structure of observations. It is, therefore, a
more realistic model compared to Markov processes. The superiority of our
approach to the others is, it not only estimates the Hurst parameter but
also finds spline parameters of the stochastic process in an adaptive way.
We examine the performance of our estimations using simulated test data.
The presentation ends with a conclusion and an outlook to future studies.


Best,
Koray Karabina.
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