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Optimal switching under a regime-switching model with two-time-scale Markov chains
澳门新葡8455最新网站:2015年08月02日 00:00 点击数:

报告人:吴臻

报告地点:澳门新葡8455最新网站403室

报告澳门新葡8455最新网站:2015年05月28日星期四16:00-17:00

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报告摘要:

This talk is concerned with a probabilistic approach to an optimal switching problem. The dynamics of the system consists of a set of diffusions coupled by a finite-state Markov chain. It is shown that the value function and the optimal strategy can be given in terms of the solution of an oblique reflected backward stochastic differential equations (BSDEs) with Markov chain. The oblique reflected BSDEs also give a probabilistic interpretation for a system of variational inequalities. In many applications, the underlying Markov chain exhibits two-time-scale structure. In this case, the value function for the original problem is shown to converge to the value functions of a limit problem as the fluctuation rate shrinks to zero. The main advantage of this two-time-scale approach is the reduction of dimensionality. The limit problem is much easier to solve and its optimal switching solution leads to approximate solutions to the original problem. Finally, a numerical example is provided to demonstrate the convergence result.

主讲人概况:

吴臻,长江学者、国家杰出青年基金获得者。现任山东大学数学新葡京最新官网教授、博士生导师、党委书记兼副院长,山东大学泰山学堂副院长。国家“万人计划”科技创新领军人才入选者,科技部国家创新人才推进计划“金融数学”重点领域创新团队负责人.主要研究方向为随机控制、正倒向随机微分方程、微分对策、金融数学等。近年以来,在国际权威及SCI 学术期刊发表论文50余篇。主持负责国家级和省部级基金10余项。 吴臻教授现任国际理论物理中心(ICTP,意大利)合作研究员、中国数学会理事、中国概率统计学会常务理事、中国自动化学会控制理论专业委员会委员、山东省数学会副理事长、山东省自动化学会常务理事,SIAM Journal on Control and Optimization、Statistics & Probability Letters、《应用概率统计》等期刊编委。

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