Conference on Stochastic Control and Numerics; September 15-17, 2005; Milwaukee, WI

会议将集中讨论随机模型的控制理论和数值方法。演讲者将讨论控制的各种应用，如投资组合优化、流动性风险、对冲策略、期权定价、博弈和美国经常账户赤字分析。理论结果将给出涉及跳跃扩散和区域转换扩散过程的复杂模型，以及相互作用的粒子系统。会议将展示几种随机模型的数值评估方法，包括蒙特卡罗技术、过滤方法、最陡下降法和欧拉算法，以及确定性模型的Kantorovich-Lax-Richtmeyer原理的扩展。会议将探索随机控制和数值在经济、金融和运筹学等不同领域的应用。会议将由随机控制和数值领域的主要专家作5次1小时的报告和14次30分钟的讲座。研究生和新近的博士将在两个会议期间展示海报。关于“随机控制中数值方法的未来方向”的小组会议将突出这一领域的公开问题和新趋势。组织者预计，由于这次会议，新的研究合作将开始。目前正在计划通过参考卷册进一步传播研究成果。

The conference will focus on control theory and numerical methods for stochastic models. Speakers will discuss a variety of applications of control, such as portfolio optimization, liquidity risk, hedging strategies, option pricing, games and analysis of the US current account deficits. Theoretical results will be presented for complex models involving jump-diffusion and regime-switching diffusion processes, and interacting particles systems. Several approaches to numerical evaluation of stochastic models will be exhibited, including Monte Carlo techniques, filtering methods, steepest descent and Euler algorithms, and an extension of the Kantorovich-Lax-Richtmeyer principle for deterministic models.The conference will explore the applications of stochastic control and numerics in diverse areas such as economics, finance and operations research. The conference will comprise five one-hour presentations and fourteen thirty-minute lectures by leading experts in the areas of stochastic control and numerics. Graduate students and recent PhDs will present posters during two sessions. A panel session on "Future Directions for Numerical Methods in Stochastic Control" will highlight open problems and new trends in this field. The organizers anticipate new research collaborations to start as a result of the conference. Plans are underway to further disseminate the research results through a refereed volume.