[Turkmath:1094] departmental seminar

[burcu.temur]

Dear all, 

You are cordially invited to general seminar organized
by
Department of Mathematics, Atilim University.

The speaker is HACER
ÖZ from Atılım University. 

Title: OPTIMAL CONTROL PROBLEMS OF
STOCHASTIC DIFFERENTIAL EQUATIONS WITH NEW RUNGE-KUTTA METHODS


Abstract: 

In this work, we obtain the symplectic partitioned
Runge-Kutta (SPRK) scheme for the optimal control problem of stochastic
differential equations (SDEs). In order to discretize the optimal
control problem, there are two basic approaches:
_discretize-then-optimize _and _optimize-then-discretize__._ We mainly
focus on SPRK scheme for the optimal control problem of SDEs by
following the _discretize-then-optimize_ approach. After we present
Hamiltonian formulations for the stochastic optimal control problem, we
discretize the cost functional and the state equation with the help of
Runge-Kutta schemes. To obtain the optimality system, we state the
discrete Lagrangian. Then, we get the stochastic adjoint pair (. Our
main contribution is to obtain an implicit Runge-Kutta scheme for the
adjoint pair. As applications, we choose some problems from finance. We
compare the numerical results with the exact solutions. 

Date: March
09, 2016 

Time: 15:45 

Place: FEF 404 - Seminar Room

With my best
regards, 

On behalf of Seminar Committee 

Burcu Gülmez Temür 
 

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