[Turkmath:1097] Re: departmental seminar

[Begumsen Ergenekon]

e-adresimi lütfen listenizden çıkartın. İletileriniz rahatsız ediyor.

Dr. B. Ergenekon

ODTÜ MODERN DİLLER BÖL.



Alinti "burcu.temur" <burcu.temur at listweb.bilkent.edu.tr>

>
> 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
>
>
>