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<div>Dear all,</div>
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<p><span>You are cordially invited to general </span><span class="il">seminar</span><span> organized by</span><br /><span>Department of Mathematics, Atilim University.</span><br /><br /><span>The speaker is <strong>Hacer Öz</strong> from Atılım University.</span></p>
<p>Title: <strong>Optimal Control Problems of Stochastic Differential Equations with New Runge-Kutta Methods</strong><strong><br /></strong></p>
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Abstract:
<p>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: <em>discretize-then-optimize </em>and <em>optimize-then-discretize</em><em>.</em> We mainly focus on SPRK scheme for the optimal control problem of SDEs by following the <em>discretize-then-optimize</em> 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.</p>
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<p>Date: March 09, 2016</p>
<p>Time: 15:45</p>
<p><span>Place: FEF 404 - </span><span class="il">Seminar</span><span> Room</span><br /><br /><br /><span>With my best regards,</span></p>
<p><span>On behalf of Seminar Committee</span></p>
<p><span>Burcu Gülmez Temür</span></p>
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