[Turkmath:1167] departmental seminar

[burcu.temur]

Dear all, 

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

The speaker is
GERHARD-WILHELM WEBER from METU. 

Title: OPTIMAL CONTROL OF STOCHASTIC
SYSTEMS WITH REGIME SWITCHES, JUMPS AND DELAY
in Finance, Economics and
Nature

 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 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.


Date: March 23, 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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